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At the age of three he made his screen debut in one of the early talkies The Singing Fool (1928) starring Al Jolson, in which he played the part of Sonny Boy. The Singing Fool remained the most successful film until Gone with the Wind (1939), produced by MGM. It was Warner Bros.' most successful film for more than ten years. The theme song "Sonny Boy" became the first film song to sell over a million copies.
His other films were Frozen River (1929), in which he played opposite a dog Rin Tin Tin, Skin Deep (1929) as the son of John Bowers, and The Squealer (1930) as the son of Jack Holt. This was Davey Lee's last film.
Brother of another child actor, Frankie Lee (1911-1970), Davey was taken out of films by his mother so that he could have a normal childhood.
In 1986, Davey was brought over to the Piccadilly Theatre in London's West End to participate in the unveiling of a memorial bronze bust of Al Jolson, to commemorate the official centenary of his birth. This theatre was chosen because, to the best of knowledge, it was the only UK stage which Jolson ever stood on, although he did not perform, he merely appeared to promote his film. The evening was presented by UK impresario David Lee, a Jolson devotee who had, many years before, chosen "David Lee" as his stage name without knowing of the connection to Jolson. The show featured tributes to Jolson from Clive Baldwin, David Jacobs and, of course, Davey Lee himself.