"At this point in my life and in my career, while I have tried to maintain separation between my personal and public life, it is obvious that this can no longer remain the case," Davis told the paper in an interview on Thursday.
According to the Southaven city website, Davis has been married to his wife Suzann for 19 years and has three young daughters. A local newspaper, however, has referred to him as divorced.
Davis has been described as an active member of a local Baptist church.
The Commercial Appeal obtained Davis' receipts through a freedom of information request after state auditors called for a review of his expenses.
In an interview with the paper, one of the aldermen reviewing the mayor's expenses said they're concerned with Davis' expenses, not his sexuality.
"Him being gay is none of my business," said Lorine Cady. "Right now, I don't know how all of this will or will not impact the city."
Davis, who is serving his fourth term as mayor of Southaven, was first elected in 1997.
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