His wife, Lesley Herring, has not been seen since Feb. 7, 2009. Davis reported her 44-year-old sister missing when she found out she had not been at work for several days.
Herring is due back in court June 30. The judge denied a request that he be released on his own recognizance and kept his bail at $1 million.
Davis has yet to comment publically about the arrest in her sister's case. Davis is best known for her roles in "Friday Nights Lights" and "South of Nowhere."
City News Service contributed to this report.