He was born in Anniston, Alabama, one of eight children. Davenport started playing the piano at age 12. His father objected strongly to his musical aspirations and sent him to a theological seminary, where he was expelled for playing ragtime.
Davenport’s career began in the 1920s when he joined Banhoof’s Traveling Carnival, a medicine show. His first fame came as accompanist to blues musicians Dora Carr and Ivy Smith. Davenport and Carr performed as a vaudeville act as Davenport & Co, and he performed with Smith as the “Chicago Steppers”. He also performed with Tampa Red. Davenport recorded for many record labels, and was a talent scout and artist for Vocalion Records. Davenport suffered a stroke in 1938 and lost movement in his hands. He was washing dishes when he was found by the jazzpianist Art Hodes. Hodes assisted in his rehabilitation and helped him find new recording contracts.