Harry Allen Davis, Jr. was born in Hillsboro, Indiana on May 21, 1914 to Rev. Harry Allen Davis and Eva Smith Davis. His family moved to Brownsburg in 1920, where he graduated from Brownsburg High School in 1932. He matriculated in the John Herron Art Institute (later Herron School of Art) in 1933 and graduated with a B.F.A. in 1938. That same year, Davis won the Prix de Rome in Painting. He spent the next two years studying at the American Academy in Rome and traveling all over Europe. Davis was offered a third year of study at the Academy, which he spent with the Academy in Greenwich Village in New York City after all American citizens had to flee Italy. Davis and fellow Herron Prix de Rome winner Robert Pippenger left Italy on June 28, 1940 on the Excalibur. Upon completion of the program in 1941, he was named a Fellow of the American Academy in Rome (F.A.A.R.).

In 1941, Davis became Artist-in-Residence at Beloit College in Wisconsin. He taught and painted at Beloit until 1942, when, after the United States entered World War Two, he enlisted in the U.S. Army. The Army sent him to North Africa to design camouflage. In 1944, he transferred to the Fifth Army Historical Unit in Italy, where Davis was a combat-artist assigned to the 85th Infantry Division. Several of his drawings from that time were used in the confidential History of the 5th Army. Some of his combat works are in the collection of the U.S. Army Center of Military History.

Davis was discharged November 23, 1945, and in 1946 he took a position teaching drawing and painting at the Herron School of Art. He was named an associate professor in 1967 when Herron became part of the Indiana University system and received promotion to full professor in 1970, shortly after Herron became one of the schools of Indiana University-Purdue University Indianapolis (IUPUI). Davis stayed at Herron until his retirement in 1983, when he was named Professor Emeritus. He was known for his series of paintings featuring older American buildings and structures, particularly those located in Indiana. Harry Davis received numerous awards over the course of his career and his work was exhibited nationally, regionally, and locally.

Davis met Lois Irene Peterson while he was an instructor and she was a student at Herron, although Lois never took any of his classes. They married December 20, 1947 and had two children, Joanna Ingrid Davis Marks and Mark Frederick Davis.

Lois Irene Peterson Davis was born in LaPorte, Indiana on January 6, 1924. In 1947, she graduated from Herron with a B.F.A. and won the $1,000 Milliken Award for independent travel and study, which she used to study in Mexico. Lois and Harry married in December 1947. The Davises lived in Brownsburg, where Lois taught art to grades 1-8 in Brownsburg Public Schools from 1956-58. Harry and Lois lived and raised their children in Brownsburg until 1960, when they moved to the Broad Ripple neighborhood of Indianapolis.