Davidson was born in Edinburgh on 7 April 1848, the eldest of the four children of Henry Davidson, a prosperous grain merchant, and his wife Henrietta, "née" Swinton. Both parents were Church of Scotland Presbyterians – Henry's father, grandfather, and great-grandfather were Presbyterian ministers. The family was, nonetheless, in Davidson's words, "very undenominational ... I have no recollection of receiving any teaching upon Churchmanship, either Episcopal or Presbyterian, the religion taught us being wholly of the personal sort but beautiful in its simplicity." Davidson's biographer George Bell writes that the Davidsons were deeply religious without being solemn, and that it was a happy household. Davidson was educated by his mother and a succession of governesses and private tutors, before being sent, aged 12, to a small private school at Worksop in the English Midlands. The teaching there was inadequate; in particular, Davidson regretted all his life his lack of grounding in Latin and Greek.