In the early 1930s Nat Davies realised that Hitler’s rise to power in Germany would end in a major war so, by early 1933, she had founded the Defence Society. The society began with 12 but had grown to 130 by the beginning of the War. As its president, Nat could obtain current information from the British Home Office, and she began to lecture on precautions in case of air-raid and poison-gas attacks.
War was officially declared in 1939. By 1940 she was setting up and teaching evening classes in home front skills. These included first aid, home nursing, motor mechanics, basic electrical work and fire drills. The society's members were mostly women, and from all walks of life. The society charged a shilling an hour to teach rifle skills. Hundreds learned how to shoot and maintain a rifle. Once Japan joined the war in 1942, the Defence Society added classes in pistol shooting, map-reading and unarmed defence. Each night members of the group climbed ladders to their roof-watching post in the city.
In Adelaide, Nat Davies was the only female civil-defence area officer. She advised the Education Department, designed camouflage designs so well that two high-ranking military personnel with binoculars, could not distinguish wearers from the landscape. Hessian sniper suits were produced by society members at Keswick Barracks. Ms Davies had been appointed deputy-commandant of South Australia’s Women's Air Training Corps and in 1941 joined the Women's War Service Council. She was regarded as an inspiring leader.
Post-war, Nat Davies wrote historical programs for the Australian Broadcasting Commission’s education department. In 1947 she became an Australian national radio quiz champion. During the War Nat’s full-time voluntary staff officer, Amylis Laffer, had become her close friend. She and Ms Laffer each had rooms at the Willard Guest House, in Wakefield Street, Adelaide. This is where Nat Davies died on 29 April 1951, of septicemia. Miss Laffer later endowed the Natalia Davies prize for first-year history, at the University of Adelaide.