A lifelong Republican, Davis switched to the Democrats after being kicked out of a fundraiser headlined by Dick Cheney in 2003 when he tried to ask Cheney questions about free trade policies. He then ran for the U.S. Congress seat in his home district, NY-26, in 2004, 2006 and 2008 as a self-funded candidate, pouring in millions of his own funds and coming close to beating the incumbent Republican Thomas Reynolds in 2006. In the 2008 election, however, he came in third out of three in the Democratic primary. He switched his affiliation back to Republican with the election of fellow wealthy industrialist Chris Lee, becoming an ally and supporter of Lee. After Lee's abrupt departure from Congress in February 2011, Davis tried and failed to get the Republican nomination to replace Lee and decided to run as an independent on a newly created Tea Party line.