Davydenko was born on June 2, 1981, in Severodonetsk, Ukraine to Vladimir and Tatyana. At the age of 11, Nikolay left his parents in Ukraine to live with his elder brother Eduard in Volgograd, Russia in the belief that Russia would afford more opportunities to become a professional tennis player. Years later, Davydenko explained his peripatetic youth, "I stayed 4 years in Russia. Eduard worked as a tennis coach for kids and we practiced together. He pushed me pretty hard. At 15 we left for Germany. A Russian who lived there convinced Eduard it would be better for me. In Europe I could play more tournaments and earn more money than in Russia." Davydenko was granted Russian citizenship in 1999 at the age of 18, and has represented Russia ever since. In 2007 he applied for Austrian citizenship (so as to obtain a dual citizenship), and has also previously applied for German citizenship.

Before the Davis Cup in 2006, Davydenko married his girlfriend and traveling companion of three years, named Irina. He currently resides in Volgograd, Russia.

Since the year 1999 Davydenko became known in the international tennis however his Grand Slam debut was in 2001. In 2000 he had a great success in Germany, 2001 was the Australian Open year, in 2003 Davydenko became the second best male tennis player in Russia. Nikolay Davydenko has got great achievement by being ranked in the world's top 10 tennis player after starting with the number 85 in early 20's. According to statistics Davydenko has won Association of Tennis Professionals singles title eight times.