When Riverside Drive was constructed in the mid-1930's, this park was built on what had been an old dumping ground for construction debris and dredge spoil. It was enlarged to its present size in 1937, using more material dredged from the river.
The park was named after Jefferson Davis, the President of the Confederacy, who lived in Memphis from 1869 to 1878 and who was president of an insurance company here. He lived at two houses on Court Avenue between Third and Fourth Streets, both of which were demolished in the mid-1930's.
The park was improved in 1983, using City and County funds, as the first phase of a Riverfront Promenade. Improvements included connections to the parking areas north of the park and to the cobblestones to the south, the installation of the concrete walks, and new lighting, landscaping, signage, and furnishings.