After missing the World Cup squad, Davey began playing with the St Kilda Sharks in the
Victorian Women's Football League in the 2015 winter. Despite not having played Australian rules football since her early junior days, she was quickly recognised as one of the top midfielders in the competition, also capable of playing as a key defender. She played for the in exhibition women's matches in 2015 and 2016, having been the top pick in the 2015 mini-draft held to allocate players for the matches.
AFL Women's After having played both codes in parallel for two years (soccer in summer and Australian rules football in winter), Davey committed to Australian rules football, signing as a marquee player for
Carlton in the inaugural
AFL Women's competition. She made her debut in round 1,
2017, in the club and the league's inaugural match at
IKON Park against . At the end of the season, Davey received her team's nominations for both the AFLW Players’ Most Courageous Award and the AFLW Players’ Most Valuable Player Award, and was also listed in the 2017 All-Australian team. She was awarded the club's inaugural best and fairest award in a ceremony in April 2017. Carlton signed Davey for the 2018 season during the trade period in May 2017. She was appointed the team's captain for the 2018 season, taking over for inaugural captain
Lauren Arnell. In round 2 she suffered a serious knee injury that was later confirmed to be a season-ending ruptured
anterior cruciate ligament. Davey returned to Carlton in 2019 and captained them side to a Grand Final appearance against Adelaide, which was subsequently lost. In April 2019, Davey was traded to
Collingwood. In March 2020, Davey was selected for a 2017–19 retrospective 22under22 squad. In December, it was announced that Davey would
co-captain Collingwood alongside inaugural captain
Steph Chiocci in 2021. She won the 2021 AFLPA MVP award, beating
Fremantle's Kiara Bowers by six votes. Davey was also selected as
Collingwood's best and fairest for the 2021 season, as well as the
AFL Women's best and fairest. Davey was awarded with her second
All-Australian blazer, named in the ruck rover position as the captain of the team. It was revealed Davey had signed on with Collingwood for two years on 10 June 2021. Davey achieved selection in Champion Data's 2021 AFLW All-Star stats team. In July 2025, it was announced Davey would hand over the captaincy ahead of the
2025 AFL Women's season to focus on-field after a couple of injury-riddled seasons.
AFLW statistics :
Statistics are correct to the end of the 2025 season ==Personal life==