The former Generation Game and Big Break host was questioned by detectives investigating the Jimmy Savile sex abuse scandal over allegations dating back 25 years, his solicitor Henri Brandman said.
Scotland Yard said yesterday that a 59-year-old was held in west London at around noon after a 53-year-old had been arrested in Hampshire at around 8am, both on suspicion of sex offences linked to Operation Yewtree. They were later bailed.
In a statement, Mr Brandman said: "Two women have made allegations in respect of Jim that date back approximately 25 years. The complainants were then in their mid- 20s.
"Jim vigorously denies the allegations. He answered police questions as fully as he was able after this passage of time.
"He has not been charged with any offence."
Police said the allegations were not directly linked to Savile.
Reports claimed the star was detained at London's Heathrow airport after flying into the country yesterday ahead of a planned appearance on reality TV show Celebrity Big Brother, which begins tonight.
He will not now be taking part in the show, though TV bosses made no official comment.
Last night, six men and a woman were seen leaving his £820,000 riverside home in Stockbridge, Hampshire, carrying boxes.
Mr Davidson is one of Britain's best-known comedians after presenting numerous TV programmes including The Jim Davidson Show, which ran for five series, and won him title of 'Funniest Man On Television'. In recent years, he trod the boards at Glasgow's Pavilion Theatre as a panto favourite.
More recently he brought his show Jim Davidson – The Legend to the city theatre just a week before Christmas.
So far, Yewtree officers have quizzed 10 people including former pop star Gary Glitter, comedian Freddie Starr and PR guru Max Clifford.