Born and raised in Hobart, Tasmania, she is the daughter of locally famed artist George Davis. She emerged from the Old Nick Company at theUniversity of Tasmania in the late 1980s. She is also a graduate of the National Institute of Dramatic Art (NIDA) in Sydney.
Her acting career began with the Bell Shakespeare company when, straight out of NIDA, she was cast as Juliet in the 1993 production of Romeo and Juliet.
Her film career started with her role in the all-Australian 1995 movie Dad and Dave: On Our Selection, which starred Geoffrey Rush, Leo McKern, and Joan Sutherland. Her biggest movie roles are in The Matrix Reloaded and The Matrix Revolutions, director Richard Flanagan's 1998 Tasmanian film The Sound of One Hand Clapping, and Girl with a Pearl Earring.
In 2003 she won the Laurence Olivier Award for Best Supporting Actress for her UK performance in the Tennessee Williams play A Streetcar Named Desire. In 2004 she starred in a Broadway production of Tom Stoppard's Jumpers, for which she earned a Tony Award nomination. In 2005 she appeared as Mrs. Nellie Lovett in the BBC production of Sweeney Todd with Ray Winstone. In the 2008 film Hey, Hey, It's Esther Blueburger she plays Esther's controlling mother. Also in 2008, she appeared in the film Australia with Nicole Kidman and Hugh Jackman, directed by Baz Luhrmann. The same year, Davis played Maggie in Cat on a Hot Tin Roof for the Melbourne Theatre Company.
Davis returned to Tasmania to launch the Tasmanian Theatre Company in 2008 and help support local theatre while encouraging youth to continue participating in the arts.
Since February 2012, Davis has played the central character in ABC Television's high-rating costume drama Miss Fisher's Murder Mysteries.