The City of Davis is named after Samuel H. Davis, who moved his dry goods store to the townsite in 1890. He petitioned for a Santa Fe depot to be constructed near his establishment and, in March 1890, he obtained a post office for the settlement. The initial suggestion for the name for the town was Chigley, after Nelson Chigley, a Chickasaw Indian on whose land the townsite was located. However "Chigley" was already taken and the "place was well known as Davis store," according to the application for a post office. The town was incorporated on November 16, 1898.

Davis is the home of Turner Falls Park, named after Mazeppa Turner, who represented Murray County in the Oklahoma Legislature from 1907 until 1911.