Randall Davey studied architecture at Cornell University from 1905 to 1907, then left for New York City to attend Robert Henri's School of Painting and the Art Students League. He and Henri became good friends, and in 1910, traveled throughout Europe together. In 1913, Davey was one of the exhibitors at the landmark Armory Show exhibition, where modern art was introduced on a large scale to the American public.
Davey, and fellow painter and friend John Sloan, were both students of Robert Henri, who had encouraged them to visit New Mexico. Upon arriving, they fell in love with the surroundings, and Davey decided to settle in Santa Fe purchasing an old mill outside of town that he converted into a studio. Unlike many artists of his time in the West, Davey did not make a practice of painting Indians. A vast majority of his subjects were nudes, which he rendered in a bold, brightly colored, Post Impressionist style. A lover of horses and horse racing, Davey often used them as subjects in his works and not always from the spectators viewpoint.
During his career, Davey was also commissioned to do several murals, some of which are in the Will Rogers Memorial Shrine in Colorado Springs, Colorado. He was a member of the National Academy of Design, Taos Society of Artists and the New Mexico Painters. Randall Davey became an influential figure in the art community of Santa Fe and in early 20th century art. He became a painter of portraits, still lives, nude figures, and horse-racing, especially scenes of polo matches.