His former club Bath Rugby issued an appeal for information about the whereabouts of the winger who was last seen on October 29.
A clip obtained by the Mirror shows the 24-year-old exiting the Old Irish Pub on the popular Spanish thoroughfare of Rambla dels Caputxins at 10.05pm.
In the video, Levi can be seen carrying a small black rucksack, while wearing a white short-sleeved T-shirt, black trousers and black and white trainers.
Rugby union player Davis is also known for his television appearances and featured on ITV’s Celebrity X Factor in 2019 alongside fellow rugby stars Ben Foden and Thom Evans in a singing group known as Try Star. He was also on E4’s Celebs Go Dating in 2020.
Friends and family launched a social media appeal for him to return, as they said he struggled with his mental health and coming out as bisexual.
His sister Candeece Balfour, 23, said that she “just wants him to come home”.
She told the Mirror: “I want to remind him and if anything he knows that my mum of all people is the person he can go to.
“I just want him to come home and any support he needs, we can be there.”
Davis’s mother revealed he was depressed with “deep issues”.
Julie Davis told MailOnline the player contemplated quitting rugby after suffering an anterior cruciate ligament injury, leaving him without a club and requiring surgery.
He had also spoken to her about financial problems and complained about his treatment by the rugby world, claiming he had suffered racism during his career.
Ms Davis spoke out after being informed of two possible sightings over the weekend. One, on a beach in Sitges just outside Barcelona and the other, of him sitting in the doorway of a city centre shop.
She said: “There have been a lot of issues going on for Levi recently which he shared with me. I think it was a build up of these things which eventually just blew his mind.
“Rugby has not been the best at looking after Levi and he’s suffered a lot of racial prejudice. He didn’t have a club and was also recently having money worries. At the same time there was some very deep emotional stuff around relationships that I can’t really go into.”
She added: “It seems as if everything just got too much for him and it’s led to Levi going missing. He’s had mental issues in the past but it seems as if this time he’s not been able to handle them.”
Former England rugby player Tom Varndell also urged anyone who has seen Davis in the past two weeks to make contact.
Writing on Twitter, Varndell said: “If anyone has seen or heard from Levi Davis in the last two weeks could you please drop me a message asap. Many thanks.”