In 1775 Great Britain declared war on her American colonies; three years later Davey decided to enter the military with a view to serving overseas.

[1] He left Sydney at the end of 1792, at the time of the mutiny at the Nore was a captain of marines, and fought at the Battle of Trafalgar in 1805.

He is still remembered for his invention of the "Blow My Skull" punch, the recipe for which is found in Edward Abbott's The English and Australian Cookery Book.

[2] Macquarie had received a private letter from the authorities warning him to keep a close watch on Davey, and on 30 April 1814 reported that his conduct was pretty correct, "except for making locations of land to persons not entitled", he had every reason to believe that he "is honest and means well" but that his character made him a "very unfit man for so important a station".

Considerable grants of land were made to him, but he was not successful with them and he sailed to England from Sydney in August 1821, leaving his wife and daughter in Tasmania.

[3] Davey was of a weakly, amiable nature, but much progress was made during his administration, including the designation of Hobart as a free port.