After completing his study of the law, Davis tried a variety of careers. He was employed as a lawyer, worked with newspapers and even tried the mercantile business. He was already interested in politics by this time and was supporting Democratic candidates such as Martin Van Buren and Franklin Pierce. By 1850, Davis had moved to Fond du Lac, Wisconsin, and continued working in the mercantile business. Soon after, he began supporting the new abolitionist party of the Republicans. His growing interest in politics even led to his election as a Wisconsin state legislator in 1856 on the Republican ticket.

After serving only one term in office, Davis moved to teach in a high school near St. Louis, Missouri. Local officials, however, made him resign because of his anti-slavery position. He was also unable to vote for Abraham Lincoln, as Lincoln was not on the ballot in Missouri. In 1861, Davis decided to move to Warren, Pennsylvania, where he became principal of the local high school, but soon left to return home to Jamestown, New York. In Jamestown, Davis practiced law, edited the Chautauqua Democrat, a Republican paper, and also worked on the Jamestown Journal.

Davis spent 15 years in the east before his desire to move west rose again. In 1876, he moved to Larned, Kansas, where he became a rancher and practiced law. By 1878, he won a seat in the Kansas State Legislature. This lasted only one year. In 1879, Davis became aware of the silver boom happening in Colorado and decided to strike out for Leadville, Colorado.