Jean Palmer Davis was born in Hackensack, New Jersey on July 25, 1914, the second daughter of the Rev. Staley Franklin Davis, a prominent Methodist minister, and his wife Helen Larter (Fredericks) Davis, a teacher. She had an older sister, Marjorie, who married Dr. Clarence E. Craw, and a younger brother, Donald.

Davy was educated at Troy Conference Academy (later Green Mountain College), a Vermont boarding school, but had to withdraw due to lack of funds after her father's death. After finishing school, she worked in New York City for a time. Eventually, she was able to save enough money to attend college part-time at Butler University in Indianapolis. Shortly thereafter, she met Sheldon Vanauken at the photography shop where she worked hand-tinting photographs to earn her tuition.

Van and Davy soon fell deeply in love and made a vow they called the "Shining Barrier". In brief, they promised to share everything in life, including all their interests, friends, and work, in order to tie themselves so closely together that nothing could ever separate them. Their devotion to this idea was so complete that they decided never to have children, as they felt that motherhood would be an experience which could not be shared equally. Both were agnostics at this time.

They were married secretly, due to Van's father's objection to early marriages, on October 1, 1937 after knowing each other for ten months. They lived separately for some time, and their marriage was not officially announced until 1941.

The young couple managed to keep their vow of complete togetherness for several years. After the death of Van's lawyer father in 1943, Van inherited enough money to live comfortably. They had the first of several boats, "Gull", custom-built soon after. Following Van's studies in history at Yale and a stint in the Navy stationed in Hawaii, they spent considerable time sailing around Chesapeake Bay, the Florida Keys, and the Caribbean.

When travel to Europe became possible again after World War II, Vanauken and Davy moved to England so that he could study at Oxford University. While they were there, they became friends with a circle of young Christian students. Eventually, Davy began to reexamine her life and views on the nature of sin after a thwarted attempt by a stranger to assault her, and committed herself to Christianity. Her conversion was also partly owing to the friendship and influence of C. S. Lewis, who was teaching at Oxford at the time. In the spirit of the "Shining Barrier", Van followed her, but with less conviction and even with some resentment.

In 1948, the Vanaukens moved to Lynchburg, Virginia, where Van taught history and literature at Lynchburg College. They joined a local congregation and explored their faith further. It was eventually to be tested severely. At 39, Davy was told she had only months to live. She had contracted a virus which attacked her liver, possibly picked up during their years of travel, and was now terminally ill.

At the time of her diagnosis in the summer of 1954, Vanauken had just resigned to accept a job offer from his alma mater, Wabash College, but asked Lynchburg to rehire him in order to stay near Davy's doctors, which they did. Tragically, Davy died of her illness soon after, at sunrise on the morning of January 17, 1955. They had been married for over seventeen years. (Her death certificate gives the cause of death as "cirrhosis of the liver, active, NON-alcoholic", with the word "non" strongly underlined.)

A great part of A Severe Mercy concerns how Van came to grips with losing his beloved wife with the help of his increasing faith and his correspondence with Lewis, who soon was to face the loss of his own terminally ill wife, Joy Davidson. Vanauken later called the "Shining Barrier" he and Davy had created a "pagan love, invaded by Christ." He never remarried, and eventually converted to Roman Catholicism in 1981.

In addition to Van, Davy was also survived by a daughter, to whom she had given birth out of wedlock at age fifteen in late 1929 and then given up for adoption. The father of this child is unknown. Davy never forgot her baby, whom she remembered as blue-eyed and beautiful. She called her "Marion".

Many years after Davy's death, Sheldon traced her daughter, whose adoptive parents had named her Elizabeth, and was able to meet her to the great joy of both. She had married a physician, was working as a nurse, and had raised three children. One of her daughters had Davy's smile.

Elizabeth had been adopted soon after birth by the Rev. Lawrence H. French and his wife Jennie. Ironically her adoptive father had died at age 48 just as Davy's had.

Shortly before he died, Van wrote the story of his search for Elizabeth, who eventually came to call him "Father", in his book, "The Little Lost Marion and Other Mercies" (1996).