The pair have known each other for five years
The split, expected to be reported in Sunday's newspapers, is said to have been "amicable" and follows discussions between the two of them in recent days.
The pair have known each other for five years and have parted on at least one previous occasion.
Clarence House has not made any official comment other than to say this is a private matter.
Prince Harry, 24, has sought to keep his relationship private.
Although the couple were often photographed at London social events, royal functions and sports tournaments, they revealed little about their feelings for each other in their time together.
In an interview in 2005, Prince Harry said: "I would love to tell everyone how amazing she is but once I start talking about that, I have left myself open."
Zimbabwe-born Miss Davy, 23, is believed to be studying law on a post-graduate course at Leeds University.