The 28-year-old trained martial artist and his girlfriend, Hannah Quinn, 23, handed themselves in to police on Monday evening following the incident in Forest Lodge, in Sydney's inner-west, on Friday.
Police are alleging the couple murdered 30-year-old Kenny after he broke into their home wearing a balaclava and knuckledusters.
Davis appeared on My Kitchen Rules in 2012.
The actor and martial artist also played a role as a police officer on season two of Australian series, Housos, and starred in a 2013 NSW Police corporate video.
The Daily Telegraph reports that police will allege Quinn chased McKee following the incident and caught him in Hereford St, bringing him to the ground.
Davis then allegedly followed with a samurai sword, striking Mr McKee to the top of the head while he was on his hands and knees.
Homicide detectives are still trying to understand McKee’s motive for the robbery.
Police will allege the accused couple returned to their home, dumping the alleged murder weapon before fleeing and hiding for 72 hours.
Both Quinn and Davis did not apply for bail in Newtown Local Court on Tuesday.
This article originally appeared on New Idea.