In 1811 he moved to St. Mary Parish, Louisiana, and later to Wilkinson County, Mississippi. In 1813 Davis began his education at the Wilkinson Academy, near the family cotton plantation in the small town of Woodville. Two years later, Davis entered the Catholic school of Saint Thomas at St. Rose Priory. At the time, he was the only Protestant student at the school. Davis went on to Jefferson College at Washington, Mississippi, in 1818, and then to Transylvania University at Lexington, Kentucky, in 1821. In 1828 he graduated from the United States Military Academy. He was an officer in the United States Army until 1835.