Preludes (1875) was her first poetry collection, illustrated by her elder sister Elizabeth (the artist Lady Elizabeth Butler, 1850–1933, whose husband was Sir William Francis Butler).
Her father was a publisher and her mother was the sister of the well-known artist Lady Butler, (Charge of the Greys).
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It was Davey's reproductions of historical paintings which brought him to prominence: such as Eastward Ho! August 1857 by Henry Nelson O'Neil (showing British soldiers taking leave of their loved ones as they embark at Gravesend for India, in the wake of the Indian Mutiny), its companion Home Again, and the acclaimed large engraving in mixed mezzotint of Lady Butler's painting Return from Inkerman.