In April 2010, Davey made his county debut for Middlesex against Northamptonshire in the Clydesdale Bank 40 competition.

[2] He made his first-class debut a month later against Oxford University Cricket Club, he scored two fifties in the match and shared an opening partnership of 192 with Sam Robson in the first innings.

[6] On 14 January 2015, Davey added his name to the list of outstanding all round performances in an ODI by scoring 53 not out and picking 6 wickets for 28 runs against Afghanistan at Sheikh Zayed Stadium, Abu Dhabi in a triangular series which also involved Ireland.

[7] In September 2019, he was named in Scotland's squad for the 2019 ICC T20 World Cup Qualifier tournament in the United Arab Emirates.

[8] In September 2021, Davey was named in Scotland's provisional squad for the 2021 ICC Men's T20 World Cup.