Davis attended The Blake School, where he built up a friendship and writing partnership with Franken.

In 1975, Davis got his break as one of the original writers for Saturday Night Live, where he and Al Franken also performed together. Franken and Davis also wrote the screenplay for, and appeared in, the film One More Saturday Night, and had cameos together in Trading Places and All You Need Is Cash. Davis was a frequent guest on The Al Franken Show, playing in sketches as characters including Treasury Secretary John W. Snow and a male prostitute. Davis is responsible for such SNL classic sketches as "Theodoric of York, Medieval Barber" with Steve Martin, the "Nick The Lounge Singer" sketches with Bill Murray, and "The Continental" with Christopher Walken.