In March 2004, Davidson, a Conservative supporter, publicly left the United Kingdom for the tax-free haven of Dubai, UAE in protest at the Labour government, although it was also noted by HMRC at the time that his move coincided with an unpaid tax bill of approximately £700,000. At the time, he declared that "I may as well go to Dubai and be an ethnic minority there than wait five years till I become one here." He moved back to the UK after living in Dubai for five years. He has also expressed sympathy for UKIP leader Nigel Farage, describing the party as "the Jim Davidson of the political world".