He has played in Major League Baseball (MLB) for the Tampa Bay Rays, Kansas City Royals, Chicago Cubs, and Colorado Rockies.

He was a member of the Royals' 2015 World Series-winning team, and earned the Babe Ruth Award for his performance in the 2015 MLB playoffs.

After high school, Davis originally committed to attend the University of Florida, but later turned down the offer to play professional baseball.

Davis was the July 2010 AL Rookie Pitcher of the Month, after posting a 4–0 record with a 3.03 ERA in five starts.

On December 9, 2012, Davis was traded to the Kansas City Royals (along with James Shields and Elliot Johnson) in exchange for Wil Myers, Jake Odorizzi, Mike Montgomery and Patrick Leonard.

On June 28, Davis' homerless streak almost ended, giving up a double off the top of the wall at O.co Coliseum to Marcus Semien.

On August 1, Davis' homerless streak ended at 125.2 innings, giving up a home run to the Blue Jays' José Bautista.

[11] On October 23, Davis forced Blue Jays slugger and 2015 American League MVP candidate Josh Donaldson to ground out to Mike Moustakas at third base, which was the final out to secure the Royals' second consecutive American League Championship Series title.

[12] Davis later recorded the final three outs of the 2015 World Series, as the Royals defeated the New York Mets in five games.

This performance earned him the 2015 Babe Ruth Award, recognizing Davis as the most valuable player in the MLB postseason.

But he tied a record by getting one in each of his 3 opportunities; matching Dennis Eckersley's feat in the 1996 National League Division Series.

[20] Davis began the shortened season as the Rockies closer but after blowing saves within a week he was removed from the role.

[27] Wade Davis married long-time girlfriend, Katelyn Casey, in November 2009 in her hometown of Marlboro, New York.

The couple run a non-profit organization called "Full Kount", which benefits children age 18 and younger who use sports as a positive influence in their lives.