Davis was born on April 18, 1864 in Philadelphia, Pennsylvania. His mother Rebecca Harding Davis was a prominent writer in her day. His father, Lemuel Clarke Davis, was himself a journalist and edited the Philadelphia Public Ledger. He attended the Episcopal Academy, and then later Lehigh University and Johns Hopkins University. He was asked to leave both of the latter for neglecting his studies in favor of his social life.

His father found him his first position as a journalist at the Philadelphia Record but he was soon dismissed. After another brief position at the Philadelphia Press, he accepted a better-paying position at the New York Evening Sun where he gained attention for his flamboyant style and his writing on controversial subjects such as abortion, suicide and execution. He first attracted attention in May to June 1889, by reporting on the devastation of Johnstown, Pennsylvania, following the infamous flood and added to his reputation by reporting on other noteworthy events such as the first electrocution of a criminal (the execution of William Kemmler in 1890).

Davis became a managing editor of Harper's Weekly, and was one of the world's leading war correspondents at the time of the Second Boer War in South Africa. As an American, he had the unique opportunity to see the war first-hand from both the British and Boer perspectives. Davis also worked as a reporter for the New York Herald, The Times, and Scribner's Magazine.

He was popular among the leading writers of his time, and is considered the model for illustrator Charles Dana Gibson's dashing Gibson man, the male equivalent of his famous Gibson Girl. He is also mentioned early in Sinclair Lewis's book Dodsworth as the example of an exciting, adventure-seeking legitimate hero.

During the Spanish-American War, Davis was on a U.S. Navy ship when he witnessed the shelling of Matanzas, Cuba, a part of the Santiago campaign. Davis' story made headlines, but as a result, the Navy prohibited reporters from being aboard any U.S. ship for the rest of the war.Davis was a good friend of Theodore Roosevelt, and he helped create the legend surrounding the Rough Riders, for which he was made an honorary member. Some have even gone so far to accuse Davis of involvement in William Randolph Hearst's alleged plot to start a war between Spain and the United States in order to boost newspaper sales; however, Davis refused to work for Hearst after a dispute over fictionalizing one of his articles.

Despite his alleged association with Yellow journalism, his writings of life and travel in Central America, the Caribbean, Rhodesia and South Africa during the Second Boer War were widely published.

He was amongst the war correspondents who covered the Russo-Japanese War from the perspective of the Japanese forces.

Davis reported on the Salonika Front of the First World War.

A plaque denoting his boyhood home can be seen at 21st and Chancellor Streets in Philadelphia.

He was married twice, first to Cecil Clark, an artist, in 1899, and then to Bessie McCoy, an actress and Vaudeville performer, who is remembered for her Yama Yama Man routine, in 1912. He and Bessie had a daughter, Hope.

Davis' "Gallegher and Other Stories" became the series "Gallegher", starring Roger Mobley, Edmond O'Brien, and Harvey Korman on Walt Disney's Wonderful World of Color on NBC.