Davis was born at Drayton near Toowoomba, Queensland, the son of Thomas Davis (1828-1904), a blacksmith from Abernant in south Wales who arrived to Australia in 1847 due to a five year conviction for petty theft, and Mary, née Green (1835-1893) an Irishwoman from Galway who was driven to emigrate by the potato famine. The boy was the eighth child and fifth son in a family of 13 children. The father later on took up a selection at Emu Creek, and there Davis was educated at the local school. He left school before he was 12 and worked at odd jobs on a station, and at 15 years of age became a junior stockrider on a station on the Darling Downs. When he was 18 he was appointed a junior clerk in the office of the curator of intestate estates at Brisbane. In 1889 he was transferred to the sheriff's office and in his spare time took up rowing and when he began writing a column on rowing in a weekly paper and needed a pseudonym he adopted "Steele Rudder", the first name from the English essayist Richard Steele, the second chosen because he wanted to bring into his name some part of a boat. Later it was shortened to "Steele Rudd".