For her work with the Red Cross Society, both in Newfoundland and New South Wales, Lady Davidson was appointed as a Dame Commander of the Order of the British Empire in 1918, and in August 1920 presided at a meeting to inaugurate the State branch of the Girl Guides' Association.

[10] As governor, he was made a Knight of Grace of the Venerable Order of St John of Jerusalem on 25 October 1916[11] and a member of the Savile Club, London.

In January 1920 the Labor Premier, John Storey, sought Davidson's approval concerning additional appointments to the New South Wales Legislative Council.

On 20 December 1920, Storey's successor, James Dooley, and his cabinet resigned after having lost a vote in the New South Wales Legislative Assembly a week before.

Upon Dooley's defeat in the March 1921 elections, Davidson wrote to the Secretary of State for the Colonies, Winston Churchill, of his "Labour friends: they were likeable men, upright and simple, and not ashamed to take advice".

However they are tamer than when we arrived not that that is saying vewy much; they really are the most impossible couple & no wonder the dominions get fed up with the Old Country & want to abolish all Imperial Governors if the Colonial Office will insist on sending out such hopeless boobs!!

After lying-in-state at St Andrew's Cathedral, Sydney and a full state funeral, he was buried in South Head cemetery, where in 1925 a memorial was erected by public subscription.

On the news of his death, the Sydney Morning Herald paid tribute to his "Splendid record of Empire service" and noted that "the whole community shares a common and heartfelt sorrow at the passing of the one of the most distinguished and popular of His Majesty's overseas representatives".