Davey was born as Sarah Alice Ellis in Wortley, an inner city area of Leeds, England, as the fourth of eight children born to sawyer Alfred Ellis and his wife Mary (Brooks) Ellis. She married Albert Davey on 22 November 1924, and the couple emigrated to Australia one month later.
The couple had a son, Kenneth, in 1930. Davey was widowed in 1969, at which time she was living in Connells Point, New South Wales. She later moved into a care home in Suffolk Park, New South Wales, where she died on 3 July 2004 at the age of 110 years, 65 days.
Davey became the oldest living person in Australia upon the death of Alice Lindsay on 1 July 2004. She held the title for two days. She was posthumously recognised as the oldest Australian resident following her validation by the ESO on 20 August 2023.