The son of William Davy, the King’s Prime Serjeant at Law, the young William Davy ran away from Eton to the West Indies. After this, his father obtained a cadetship for him in the Bengal Army and he was commissioned on 31 March 1767. In 1782, after spending a year as Persian Secretary to the Governor-General, he became Confidential Assistant to Major William Palmer at Lucknow, but resigned on 22 January 1784, possibly due to ill health. He died at sea that year, on his passage home. He left a widow, Harriet, and five children, and also a natural daughter, Zenut (or Zeimat), to whom he left £500 in his will.