When he was 16-years-old, Davey's mother returned with him to England in 1931. He got a place with the Princes club playing in the English League with the help of a London newspaper. After a short time with ZSC Lions in Switzerland, he returned to the UK to play with Streatham in 1933 before eventually moving on to play with the Falkirk Lions in the Scottish National League between 1938 and 1940, whom he also coached in 1938–39.