Absalem J. Davidson was born in Franklin County, Missouri, on August 13, 1843, the son of Samuel M. and America A. (Billups) Davidson. At the age of 20 he joined the gold rush to Idaho, arriving in Alder Gulch in November 1863. He cut timber and mined until 1865 when he moved to Helena and worked for a miners' supply store. In 1876 he opened a wagon and saddlery business in Helena. In December 1888 he incorporated the business as A.J. Davidson and Company, with a branch in Butte, managed by Napoleon B. Davidson, and minor branches in other towns. The business operated first on Last Chance Gulch and later on National Avenue. The business was sold at assignee's sale in August, 1897. For the next few years Davidson managed the Montana Hide Company, which had bought out his business. He was also involved in the Empire Cattle Company, was a partner in Porter-Davidson, a Helena real estate firm, and was vice president of the Merchants National Bank.

In addition to his business interests, Davidson was active in the Democratic Party, serving in the 1893 Legislature. He was a member of the state capitol building site commission and the State Board of World's Fair Managers. He was a founding member of the Helena Cemetery Association and served on the Helena Board of Trade.

Davidson married Sallie Davenport in 1874. They had three children: Olive, Elizabeth, and William. A.J. Davidson died on a business trip to Pocatello, Idaho, on October 24, 1909.