He soon became involved as a Democrat in local politics. He was elected to serve as alderman of the First Ward for two years and later as the District Attorney of Jefferson County for four years. He ran for the US Senate in 1918 but was defeated. He became chairman of the Democratic Committee for its Western headquarters in Woodrow Wilson's run for the presidency in 1912. Wilson won, and Davies followed him to Washington. Not long afterward, Wilson named Davies to be Chairman of the Federal Trade Commission. Later, Davies worked as an advisor to President Wilson at the Versailles Conference after World War I. Following that conflict, Davies continued to serve his country as the nation's ambassador to Russia and Belgium. During World War II, Davies was designated by President Franklin D. Roosevelt as having ambassador rank and was a frequent consultant to the president. He was an advisor to him during the major Allied conferences of the period which included Roosevelt, Winston Churchill and Joseph Stalin. In 1946, Davies was recognized for his outstanding service to his country when he was decorated with the Order of Merit (now the Medal of Freedom), the highest civilian award given by the United States.

Davies finest hour was reached in 1951 when he established the Joe Davies Scholarship Foundation. The first scholarship was given in 1952 to a graduating senior from Watertown High School, Jane Weaver. Davies himself later expanded the award to also include the high schools of six surrounding communities where he had practiced law as a young man. Included are Jefferson and Juneau (1955), Fort Atkinson (1955), Waterloo (1957), plus Johnson Creek and Lake Mills (1958).

A gift by Davies to the University of Wisconsin-Madison is not widely knows. It is a collection of wonderful Russian art, especially icons which he had gathered during his years as ambassador to Russia. These artifacts today are displayed at the Elvehjem Museum of Art at UW-Madison. In 1970, the Foundation also set up the Joseph E Davies Prize for scholarship and contributions to the life of the school. This award was given to law school students only. The most famous recipient was Vice President Dick Cheney. That tribute was later phased out.

Davies clearly enjoyed his tour of duty as Ambassador to Russia. As an outgrowth of that service, he compiled a narrative telling of his own experiences during that period. His Mission to Moscow was published in 1942, and a movie by the same name came out the following year.

Joe Davies was a remarkable citizen who served his community, his country and his fellow man very well. He passed away in May 1958.