The 59-year-old comedian was held in January by detectives from Operation Yewtree, the national investigation sparked by the Jimmy Savile abuse scandal, and re-arrested in March after further allegations emerged.
There is one remaining claim against Davidson, which has been referred to an authority outside the UK.
His solicitor Henri Brandman, of Henri Brandman and Co solicitors, said: "My client Jim Davidson was arrested a number of months ago in respect of allegations of an historical sexual nature. He is pleased to have received news there will be no further action relating to the allegations."
Davidson has consistently denied the allegations against him, which were said to involve a number of women, and one claim that dated back 35 years.
The allegations had no connection to disgraced television presenter Savile, and Davidson previously said that all the alleged victims were adults at the time of the claims.
He and a 53-year-old man who was also arrested in January both answered police bail yesterday and were told they will face no further action.
A Scotland Yard spokesman said: "There remains one outstanding allegation originally referred to Operation Yewtree that falls outside UK jurisdiction which has been referred to the relevant authority."