Born in Launceston, Cornwall, Davey first studied art in Exeter before going to Goldsmiths College in London in 1985 where he took a BA in fine art. His first solo show was at the Lisson Gallery in London in 1987.^[3] Davey was single and has one child Sennen Davey, with his former wife, the sculptor Victoria Burton-Davey.

He played football with Dave Rowe in the summer of 1976.^{[citation needed]}

Davey died following a long-term illness on 28 February 2022, at the age of 60.^[4]

Davey's work was influenced by the work of sculptors such as Tony Cragg and Richard Deacon and shows a similar interest in industrial materials. The simplicity of his forms shows an affinity with minimalism. Many of his works make references to everyday objects which if exhibited in themselves would be readymades. Button, a metre and a half wide clothes button made in steel, is a typical early work. Later works, such as Gold (Table) (a table as tall as a human) are larger in size. Primarily a sculptor, Davey produced a series of 12 prints with five other artists including etchings and screenprints.^[3]

London School of Hygiene & Tropical Medicine commissioned Davey to create a piece that reflected the maritime origins of the School, this resulted in a vast oak veneer wave wall. This is part of the School's contemporary art programme, which started in 2000.The initial idea was to commission or purchase some sculptures and pictures, but the building has relatively few suitable spaces for placing or hanging art. So instead the emphasis shifted towards commissioning works that fitted, both in terms of the themes of the school and the architecture of the building.

Davey won the Tate's Turner Prize in 1992.^[5] Entitled HAL, the work comprised two abstract steel objects, each measuring 244 x 122 cm (96 x 48 in).

• Architecture and the Visual Arts
• Portraits of Grenville Davey at the National Portrait Gallery, London