In 1959, he briefly appeared on stage as one of the heroin-addicted musicians in a production of ''The Connection''. Davis married songwriter Mayme Watts, who was performing as a vocalist with the Walter Davis Jr. Trio.

Although he retired from music in the 1960s to work as a tailor, painter, and designer, he returned to his music career later that decade, and in the 1970s he performed with Sonny Rollins and again