After being featured in the Mabel Normand comedy Raggedy Rose, Davidson was given a short-subject series of his own, appearing as a woebegone, put-upon fellow in such titles as Jewish-Prudence and Don't Tell Everything.

Davidson's best-known starring shorts are Call of the Cuckoo (1927), featuring cameos by Stan Laurel, Oliver Hardy, and Charley Chase; and the recently revived Pass the Gravy (1928), deemed "culturally significant" by the Library of Congress and selected for preservation in the National Film Registry.

Although Davidson's native German accent was not so thick as to ruin his chances in talking pictures, his dialect gave his screen character a new and potentially offensive dimension, and Hal Roach forestalled any protests by discontinuing the series entirely.

He was still familiar to the movie-comedy community; when Charlie Chaplin needed ethnic types to portray the residents of a Jewish ghetto in The Great Dictator (1940), Max Davidson was cast.

He continued to play ethnic shopkeepers, opposite The Three Stooges in No Census, No Feeling (1940) and The East Side Kids in Clancy Street Boys (1943), among several other films.