Garrett returned the favor two years later and defeated Davis in a rematch. Davis returned to his home in Sulphur Springs and engaged in Chautauqua work and prohibition work after 1916. He joined the second Ku Klux Klan in his later years. In 1932 he came out of political retirement to oppose Joseph W. Bailey, Jr., for congressman-at-large in the Democratic primaries. The elder Joseph W. Bailey had been a vehement foe of Populism in the 1890s. Davis lost in the runoff primary. He legally changed his name to "James Harvey Cyclone Davis" in 1932. He remarried Maude V. Woods in 1935, after his first wife died, and moved to Kaufman, Texas, where he died on January 31, 1940. Cyclone Davis was buried in the City Cemetery of Sulphur Springs, Texas.