With her sister Gwendoline, she bequeathed a total of 260 works, particularly strong in Impressionist and 20th-century art, which formed the basis of the present-day National Museum Wales' international collection.
An amateur painter, Margaret shared Gwen's passion for collecting works by the Impressionists and other contemporary artists.
During the First World War, the Davies sisters worked as volunteers for the French Red Cross, as they had already travelled extensively in France.
From 1933 to 1938, they sponsored the Gregynog Music Festival at their estate, an annual 3–4-day affair directed by Henry Walford Davies that included poetry readings.
The festivals played host to important composers and other musical figures of the period, including Ralph Vaughan Williams, Edward Elgar, Gustav Holst, "the conductor Adrian Boult, and the poet Lascelles Abercrombie; and performers including Jelly d'Arányi and the Rothschild Quartet.
They bequeathed their collection of paintings and sculptures, which Margaret had expanded after Gwen's death, to the National Museum of Wales.