Hendry managed to take a 5-4 overnight lead over the 20-year-old qualifier, Paul Hunter, but Davis ended his opening session trailing the unfancied Joe Perry 7-2.
Even though Hendry twice fell behind to last season's Welsh Open champion it was the world No 2 who made most of the telling breaks.
The scrappiest frame of the first session was a 27-minute opener that Hunter clinched by potting brown to pink after Hendry missed the brown when clearing up. The Leeds professional added frame two as Hendry potted only two single reds but then had to take a back seat until the mid-session interval. Hunter did not contribute to a third frame that the Scot secured with a break of 74, and when he missed a red into the middle when leading 35-0 Hendry eventually knocked in a break of 96.
It was Hendry's turn to squander an early advantage in frame five and Hunter showed his class with an effortless 92. Back came Hendry with 87 followed by 50 in the seventh and 63 in the eighth to lead 5-3. But Hunter produced a vital break of 41 to take the ninth frame.
Perry, the world No 74 from Wisbech, needs only three frames when he resumes this morning to beat Davis and join other first-round giantkillers, Nick Walker, Matthew Stevens and Chris Small, in the second round.
Perry joined a small group of players to make a century break on their Crucible debut and took vital early frames on the last couple of colours. Davis opened his account in the fourth with his second half-century but by the time he added to his total Perry was 6-1 clear.
James Wattana was the toast of Thailand after denying his Far East rival, Marco Fu, a debut victory at The Crucible. The unofficial all-Asian title was at stake as well as a place against Hendry or Hunter in the last 16.
Wattana, the No 15 seed, was 8-7 behind before he rallied with a break of 62 to level at 8-8 and made a 136 clearance for 9-8. The 18th frame was easily the longest of the match. Wattana compiled an opening 40 break and by taking the last red he left Fu needing all the colours to tie. Fu could only leave a free ball while escaping from a snooker behind the black and victory went to Wattana.
Mark King is through to round two after a 10-8 win over Darren Morgan. The world No 16 fought back from 8-6 down to set up a meeting with John Higgins.
EMBASSY WORLD CHAMPIONSHIP (Sheffield) Today's games, morning (10.00): A McManus (Sco) v J White (Eng); S Davis (Eng) v J Perry (Eng) (Perry leads 7-2). Afternoon (14.30): S Lee (Eng) v J Lardner (Sco); S Hendry (Sco) v P Hunter (Eng) (Hendry leads 5-4). Evening (19.00): McManus v White; R O'Sullivan (Eng) v L Fernandez (Rep Irl).