Davis was selected by the New York Mets in the third round of MLB's amateur draft in 1976, and made his debut five years later with the Cubs.

In the earlier years of his career, Davis showed promise on offense and became a fan favorite among Cubs fans. In his second full season, 1983, he set what would turn out to be career highs with 151 games played, a batting average of .271 and 24 home runs. (He also had 84 RBI in the same season.) In 1984 he set a career high with 94 RBI and earned his first All-Star selection, as the Cubs won the National League's Eastern Division title, their first title of any kind since 1945. Around the same time, he was learning more patience at the plate and drawing more walks.

Later in his career, Davis improved on defense. During his great offensive seasons in 1983 and 1984, defense was somewhat of a challenge for him; in 1983 alone, he had 13 errors and 21 passed balls. However, by 1985 he had his defensive problems under control; his passed balls decreased, as did his errors. In 1986 he won his first and only Gold Glove Award and made his second All-Star appearance.

Around the same time, his offense started slipping. In 1986, he hit 21 home runs but struck out 110 times. His batting average slipped to .229 in 1988 before he was traded in the middle of the season to the Atlanta Braves. He played only two games with the Braves that year, but he stayed in Atlanta for two more partial seasons. With the Braves, he was also seeing occasional action as a first baseman. In 1989 he batted .169 with Atlanta in 78 games. In 1990, he played 12 games, going 2-for-28 for a batting average of .071. He then decided to retire.

Davis managed the Calgary Outlaws of the Canadian Baseball League to a 24-13 record during the league's only season (2003). Since the league suspended operations at its All-Star break, the Outlaws were awarded the Jenkins Cup.