In her home town of Bath, Somerset, after studying English and Drama at the College of Ripon and York St John, Davis formed a double act with Jane Roth at a local theatre group. They then formed an improvisation troupe along with the now famous Rob Brydon.

Davis is in a long-term relationship with Mighty Boosh star Julian Barratt. The couple have twin boys called Walter and Arthur, born 25 June 2007, and reside in North London.

Davis belonged to a comedy troupe which included her future Gavin & Stacey co-stars Rob Brydon and Ruth Jones. Her first break into TV was as a regular cast member of Big Train after her work on a BBC Radio 4 comedy was brought to the attention of Graham Linehan and Arthur Mathews. Her career was given in further boost in 1998 after she sent a tape of her work to Steve Coogan who invited to her to write and tour with him later that year.

Davis has starred in many comedy television shows in the UK including I'm Alan Partridge, Big Train, Brass Eye, Jam, Human Remains, Gavin & Stacey, I Am Not An Animal, Dr. Terrible's House of Horrible, Ideal and Nathan Barley.

In 2004 Davis wrote and starred in the highly acclaimed dark comedy Nighty Night, which returned for a second series in 2005. In more serious roles Davis has starred in productions such as the BBC's For the Love of God, The Alan Clark Diaries (in which she plays secretary to the notorious MP), Fear of Fanny, in which she played the original celebrity chef Fanny Cradock, and Persuasion, an adaptation of the Jane Austen novel.

In the last episode of The Office, she is heard on the phone as one of the voices from a dating agency in conversation with David Brent. Over Christmas 2008, Davis appeared on Little Britain Abroad as a Russian mail-order bride called Ivanka.

In 2010 Davis co-wrote and co-starred in Lizzie and Sarah with Jessica Hynes. The pilot was aired in the UK on 20 March 2010 on BBC2. The series was made by Baby Cow and is noted as being even darker than Davis's previous work.

Davis has appeared in A Rock Opera, Four Lions, Wilbur Wants to Kill Himself, Love Actually, Confetti and Sex Lives of the Potato Men. In 2010 she appeared in the Ricky Gervais and Stephen Merchant film Cemetery Junction.