- Daughter of comedian/actor Jasper Carrott.
- Married Welsh actor Owain Yeoman on the 9th December 2006 at St. Paul's Cathedral. Normally reserved for royal weddings (King Charles III and Princess Diana were wed there), Davis and Yeoman were permitted to marry there as her father, comedian Jasper Carrott, was awarded an OBE in the New Year's Honours in 2002.
- Davis is a diabetic.
- She underwent a kidney transplant in 1997 after being diagnosed with kidney failure during a medical examination that she underwent prior to taking up her role in Orgueil et préjugés (1995). Her mother, Hazel, donated the kidney. Around Christmas 2005 she was hospitalized once again because of kidney failure, but has since recovered.
- Also played the character Hayley in The Archers on BBC Radio Four.
- She is the first actress to portray Etta Candy in a live action theatrical film adaptation of "Wonder Woman".
- She played a witch in both Belfry Witches (1999) and Les Nouvelles Aventures de Sabrina (2018).
- Sister of Jenny Davis.
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