She was born in Ireland: nothing is known about her childhood, including her birth name. Comments by Jonathan Swift, who was at Trinity College Dublin with her husband, suggest that she grew up in conditions of poverty and obscurity. She married Peter Davys, master of the free school of St Patrick's Cathedral, Dublin, and had two daughters both of whom seem to have died in infancy. Despite her lack of family connections she had a number of socially prominent friends, including Margaret Walker, daughter of Sir John Jeffreyson, judge of the Court of Common Pleas (Ireland). After being widowed in 1698, she moved to London in 1700 in order to make a living.
She published The Amours of Alcippus and Lucippe, with a dedication to Margaret Walker, in 1704, and "The Fugitive," dedicated to Esther Johnson, in 1705. She claims in the Introduction to "The Works of Mrs. Davys" (1725) that she abandoned "The Amours" while in press to go north, probably to York. In 1716, she returned to London for the production of her play, The Northern Heiress, or the Humours of York, a comedy critical of the marriage market. Initially produced in York in 1715, it debuted at Lincoln's Inn Fields. The production ran for the three nights, giving her the receipts for the author's benefit night.
She spent some more time in London, hoping to be a successful city writer; "Familiar Letters Betwixt a Gentleman and a Lady" was probably published at this time, although not published until "The Works" (1725). In about 1718 she abandoned that hope. The note "As it was to be performed at the Drury Lane Theatre" on the title page of "The Self-Rivals" indicates a disappointment. Instead she moved to Cambridge, where she established a coffee house. Her chief patrons were the students at St. John's College, Cambridge, whom she thanks in her prefaces for their help.
In Cambridge, she turned to writing novels, for which she is best known. The Reform'd Coquet is a successful early example of the novel of education, and her Familiar Letters, an epistolary novel which satirised the upper classes and political affiliations, is an example of a successful epistolary novel before Samuel Richardson. Her writing is often direct, even blunt: for example, Sir John Galliard, the main character in The accomplish'd Rake, a debauched womanizer, is presented without euphemism. She was attacked in The Grub-Street Journal in 1731 for being "bawdy" but she "replied with vigour."
She lived in Cambridge until her death after a period of ill health. Her response to the satirical letter in "The Grub Street Journal" refers to shaking hands and bad eyesight. She was buried in the Church of the Holy Sepulchre in Cambridge on July 5, 1732.
- The Northern Heiress, or, The Humours of York (1716)
- The Self-Rival (Works, 1725)
- Amours of Alcipus and Lucippe (1704; revised as The Lady's Tale in 1725)
- The Fugitive (1705; revised as The Merry Wanderer in 1725)
- The Reform'd Coquet, or, Memoirs of Amoranda (1724). Reprinted with light corrections in "Works"
- Familiar letters betwixt a gentleman and lady (Works, 1725)
- The accomplish'd rake, or, Modern fine gentleman (1727)
- The Cousins, revised as "The False Friend, or the Treacherous Portuguese" (1732)
- The Modern Poet (Works, 1725)
- Backscheider, Paula R.. “Davys, Mary (1674–1732).” Oxford Dictionary of National Biography. Ed. H. C. G. Matthew and Brian Harrison. Oxford: OUP, 2004. 16 November 2006.
- "Davys, Mary." The Feminist Companion to Literature in English. Virginia Blain et al., eds. New Haven and London: Yale UP, 1990. 271-272.