Born in Tchula, Mississippi, Davenport moved to Chicago, Illinois, when he was 14. There he played with Arthur Spires, Snooky Pryor, and Homesick James and then worked with Bo Diddley, with whom he played harmonica on a 1955 Chess Records session. He led his own group in the 1960s while working during the day as a paint sprayer. In the 1980s he was the harmonica player for the Indiana group the Kinsey Report.
In July 1994, Wolf Records released the album Chicago Blues Session, Vol. 11, by Maxwell Street Jimmy Davis, recorded in 1988 and 1989. The collection included Davenport on harmonica and Kansas City Red playing the drums.
Davenport released his first album under his own name in 1992 and recorded a follow-up, I Smell a Rat, in 2002.
- "RIP Lester Davenport". Bluesinthenorthwest.com. Retrieved 2009-03-28.
- Bill Dahl. "Lester Davenport | Biography & History". AllMusic. Retrieved 2016-01-26.
- Doc Rock. "The Dead Rock Stars Club 2009 January to June". Thedeadrockstarsclub.com. Retrieved 2016-01-26.
- "Chicago Blues Session, Vol. 11 – Maxwell Street Jimmy Davis | Credits". AllMusic. Retrieved 2016-01-26.
- "Lester Davenport | Album Discography". AllMusic. Retrieved 2016-01-26.