Sheppeytrygon davisi was an early stingray that probably lived and fed close to the seabed. Stingrays are highly specialised batoids whose flattened bodies allow them to move over soft substrates and exploit prey living on or within the sediment.

Its small pavement-like teeth were suited to processing relatively modest prey rather than functioning as pointed shark-like grasping teeth. Small crustaceans, molluscs, worms and fishes are plausible food items based on the feeding ecology of living stingrays, although direct evidence of the diet of S. davisi is not preserved.

The species is known mainly from isolated teeth, so much of its body form and behaviour must be inferred from its relationships. It represents part of an already diverse early Eocene radiation of bottom-feeding rays in the North Sea Basin.