- Attended drama school with Mel Gibson. They played Romeo and Juliet together.
- Although most of her work is in American film and television, she has steadfastly refused to move to the United States and prefers to live in Sydney, Australia.
- To prepare for her role as Judy Garland in Life with Judy Garland: Me and My Shadows (2001), she pored over television footage, biographies and nearly all of Garland's 32 feature films. She also wore dark contact lenses for the role.
- Forbidden to see movies as a child.
- She was among the cast members of the George Sluizer film Dark Blood (2012) that was filmed in 1993 and was left unfinished by star River Phoenix's 1993 death.
- In a 1994 interview, she listed Robin Williams as the one actor she would like to work with but hadn't. In 1997, they both appeared in Deconstructing Harry (1997), but did not share any scenes.
- Did her own piano playing in My Brilliant Career (1979). Throughout the film she plays Schumann's "Scenes from Childhood".
- Auditioned for the female lead roles in Scarface (1983), The Terminator (1984) Out of Africa (1985), Top Gun (1986), Adventures in Babysitting (1987), Fatal Attraction (1987), Broadcast News (1987) and The Accused (1988).
- Fellow Australian actresses Cate Blanchett, Nicole Kidman and Toni Collette all cited Davis as a major influence on their own careers. She worked with Kidman in an episode of Roar (2022).
- Her family can trace its ancestry back to the original 1831 British settlement in Perth.
- Intensely dislikes being interviewed and does so only as a gesture of goodwill toward the directors of her films.
- Has played several real-life women, including Lillian Hellman, Judy Garland, Golda Meir, Nancy Reagan, Hedda Hopper, Anne d'Arpajon, George Sand, and WWII heroine Mary Lindell.
- Lost her Catholic faith at age 14, when she read a book that suggested a metaphorical rather than a literal interpretation of the story of Jesus and the miracle of the loaves and fishes.
- According to director Sydney Pollack, he met with both Davis and Julie Christie before casting Meryl Streep in the role of Karen Blixen in Out of Africa (1985).
- Sang in a band with an Italian band leader in both Taiwan and Japan.
- In 2002, took out an "apprehended violence order" against her husband, Colin Friels. She was reportedly cut during an argument about a newspaper article during which a table was broken. The order did not require the couple to be separated.
- She began filming Celebrity (1998) less than two weeks after giving birth to her daughter Charlotte. During production on the film, her husband Colin Friels contracted pancreatic cancer and nearly died.
- She turned down the Rachel Ward role in the Australian miniseries The Thorn Birds (1983).
- Trained at NIDA (National Institute of Dramatic Arts). Her fellow students included Mel Gibson, Colin Friels and Dennis Olsen.
- One of her most famous films is also one of her least favorite: My Brilliant Career (1979). Although it propelled her to major stardom, she was miserable during its filming and cannot stand to watch it today.
- Appeared with her husband Colin Friels in several films, including Hoodwink (1981), Kangaroo (1986), High Tide (1987), and The Man Who Sued God (2001). They have also frequently appeared together on stage.
- Both times she was Oscar-nominated, she competed with Vanessa Redgrave for the award. Neither actress won the award either time.
- Agreed to do the film Absolute Power (1997) so she could work with Clint Eastwood.
- Famously clashed with director David Lean on the set of A Passage to India (1984).
- In 1986, both she and husband Colin Friels won Australian Film Institute Awards. She won Best Actress for Kangaroo (1986) while he won the Best Actor award for Malcolm (1986).
- Was once described as "the patron saint of modern emotions" by director/screenwriter Michael Tolkin.
- Has played writers in numerous films, including George Sand in Impromptu (1991), Lillian Hellman in Dash and Lilly (1999), and characters based on writers Jane Bowles (in Naked Lunch (1991)) and Miles Franklin (in My Brilliant Career (1979)).
- Once said that the one role she wanted but didn't get was Debra Winger's part in The Sheltering Sky (1990).
- In 2000, was reportedly in talks to appear in "Cloudstreet," an adaptation of an Australian best-seller which would have been directed by Peter Duncan and also starred Geoffrey Rush, Anna Paquin, and Heath Ledger. For whatever reason, the project never made it off the ground.
- Was cast in her star-making role as Sybylla Melvyn in My Brilliant Career (1979) only after producers decided to replace actress Jan Hamilton, who was originally cast in the role.
- Quentin Tarantino says that her breakout role in My Brilliant Career (1979) is one of his favourite Australian films.
- Has a son, Jack Friels (born 1987), and a daughter, Charlotte Friels (born 1997).
- Once described her character in High Tide (1987) as the one which is "closest to my own persona".
- On June 2, 2008, won a libel case against Australia's Daily Telegraph. The suit claimed Davis had been defamed in articles about her appearance at a council meeting at which objections were raised against plans to install floodlighting at a sports field near her Sydney home. The articles suggested she was unconcerned about the potential danger to children due to the poor lighting at the park, and also suggested she had angrily stormed out of the meeting. The jury ruled with Davis, stating she had been defamed by the newspaper. She received the equivalent of $133,000 in damages.
- She has appeared in five films directed by Woody Allen: Alice (1990), Husbands and Wives (1992), Deconstructing Harry (1997), Celebrity (1998) and To Rome with Love (2012).
- Attended a Catholic convent school in her hometown of Perth, Australia.
- Kate Winslet said the best thing about being a part of The Dressmaker (2015) was working with Davis.
- In her diverse career, Davis has played a woman addicted to bug spray, a former First Lady, a German housewife living in Australia, a Southern ghostwriter, a serial killer, an unbalanced White House Chief of Staff and a fervent Australian Stalinist.
- Served as a member of the jury of the Cannes Film Festival in 1993.
- Erroneously described as having dropped out of convent school at age 17 so she could travel around the world. Davis has said she most certainly graduated high school before touring with a band throughout Asia.
- Was the runner-up for the 1993 New York Film Critics Circle Award for Best Supporting Actress for her performance in Husbands and Wives (1992). The winner was Miranda Richardson for her work in The Crying Game (1992), Damage (1992), and Enchanted April (1991).
- She played Joe Mantegna's wife in two films written and directed by Woody Allen: Alice (1990) and Celebrity (1998).
- Of her six Golden Globe nominations (as of 2019), five of them were for television projects and in all of those she played a real life character.
- Has protested Australia's involvement in the war with Iraq.
- Was presented the Don Dunston Award for her contribution to the film industry at the 2011 BigPond Adelaide Film Festival.
- Has been one of the choices to portray three parts that Meryl Streep ended up playing. These were Karen Blixen in Out of Africa (1985), Lindy Chamberlain Creighton in A Cry in the Dark (1988) and Violet Weston in August: Osage County (2013).
- When she was nominated for an Oscar in the Best Actress category for A Passage to India (1984) she was up against Sally Field who won for Places in the Heart (1984). They would work together in A Cooler Climate (1999).
- Nominated for an Olivier Award for Insignificance (Actress of the Year in a New Play, 1982).
- She was one of the choices to play Alex Forrest in Fatal Attraction (1987) that ended up going to Glenn Close. The two would work together a few years later in Serving in Silence: The Margarethe Cammermeyer Story (1995).
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