Born in Lambeth, Davis grew up in Guildford before moving at the age of 14 with her family to Bath, Somerset. After studying for a degree in English and Drama at the College of Ripon and York St John, she returned to Bath and formed a double act with Jane Roth at a local theatre group. They then formed an improvisation troupe along with Rob Brydon and Ruth Jones.
Davis's first break into television was as a regular cast member of Big Train. Her career was given a further boost in 1998 after she sent a tape of various characters to Steve Coogan, who invited to her to write and tour with him later that year. Davis has appeared in many comedy television shows in the UK including I'm Alan Partridge, Big Train, Coming Soon, Brass Eye, Jam, Human Remains, Gavin & Stacey, I Am Not an Animal, Dr. Terrible's House of Horrible, Ideal and Nathan Barley.
In 2004, Davis wrote and starred in the dark comedy Nighty Night, which returned for a second series in 2005. In more serious roles Davis has starred in productions such as the BBC's For the Love of God, The Alan Clark Diaries, Fear of Fanny, in which she played the original celebrity chef Fanny Cradock, and Persuasion, an adaptation of the Jane Austen novel.
In 2009 Davis appeared, in the guise of Steve Coogan's personal assistant Debbie Bidwoden, in the TV film Steve Coogan – The Inside Story.
In the last episode of The Office, she is heard on the phone as the voice of a woman from a dating agency in conversation with David Brent. In 2008, she appeared on Little Britain Abroad as a Russian mail-order bride called Ivanka. In 2010, she co-wrote and co-starred in Lizzie and Sarah with Jessica Hynes. The pilot was aired in the UK on 20 March 2010 on BBC Two. It was made by Baby Cow Productions, and was noted as being even darker than Davis's previous work; when the BBC did not commission the remaining episodes of the series, there were online protests.
In December 2011, Davis appeared in "Fifteen Million Merits", an episode of the anthology series Black Mirror, as Judge Charity on the fictional talent show Hot Shot. On 22 December 2011, she appeared as Anne Yeaman in the Christmas special and finale of the BBC Three comedy How Not to Live Your Life. Davis appeared in the pilot episode of Bad Sugar, shown on Channel 4 on 26 August 2012. A full series was set to air in 2013, but was cancelled due to availability of the cast and writers.
In 2013, Davis played various characters in BBC sketch show It's Kevin and in Psychobitches on Sky Arts. In 2014, she starred in the short film The Bird and appeared in an episode of Inside No. 9 as a stage manager.
Davis create, wrote and starred in Hunderby, which aired for two series on Sky Atlantic.
In 2016, Davis wrote, directed and starred in Camping on Sky Atlantic. This was her directorial debut. She is working on a new comedy for Channel 4 called Morning Has Broken, about a struggling daytime TV host.
Davis is in a relationship with comedian Julian Barratt. They are the parents of twins Arthur and Walter.