Davy was born in Penzance, Cornwall, in the Kingdom of Great Britain on 17 December 1778, the eldest of the five children of Robert Davy, a woodcarver, and his wife Grace Millett. According to his brother and fellow chemist John Davy, their hometown was characterised by "an almost unbounded credulity respecting the supernatural and monstrous ... Amongst the middle and higher classes, there was little taste for literature, and still less for science ... Hunting, shooting, wrestling, cockfighting, generally ending in drunkenness, were what they most delighted in."