The Electoral Commission started the probe after Davidson missed the legally-binding 30-day deadline for reporting the cash.
Following an initial assessment which suggested Davidson may have breached electoral law, the Commission has now progressed to a "case review" while it makes further checks.
The process will last up to three months and could lead to the Commission launching a full-blown investigation using its statutory powers, with Davidson being interviewed about the money.
Failure to declare donations on time is an offence punishable by a fine of up to £5000.
The Commission's action could prove highly embarrassing for the Tory leader, who was only elected as a Glasgow MSP in May, and may revive questions about her inexperience and competence.
Her main rival for the party leadership, Murdo Fraser, reported his donations on time.
Electoral Commission records show Davidson has so far declared four campaign donations totalling £29,500, money which helped her secure a narrow victory on November 4. According to the Commission database, she accepted two donations on September 19 but did not report the sums until November 21, more than a month after the reporting deadline.
One donation was £2000 from James Stewart, a director of a private-equity company who has also given money to Scottish Tory MP David Mundell. The second was £12,500 from Glasgow-based property company Alchemist Estates Limited, which is owned by wealthy Tory donor Brian Gillies.
It is these donations, made to Davidson in her capacity as a "regulated donee" and "leadership candidate", which are being reviewed by the watchdog.
Davidson also declared a further £10,000 from James Stewart and £5000 from Tory donor Carolyn Ward on November 21.
However, as these donations were accepted roughly 30 days before, on October 18, they do not feature in the Commission's current inquiry.
Fraser, who has so far reported donations of £5000, £5000 and £2500 to the Commission, did so after three, 17 and 25 days respectively.
The Commission's case review is an unwelcome Christmas present for Davidson, who is already under scrutiny in her new role.
Last year, Zac Goldsmith, the Tory MP for Richmond Park in London, was subject to a case review after it was alleged he overspent on his General Election campaign.
LibDem Energy Secretary Chris Huhne was also the subject of a case review earlier this year, again relating to campaign spending in 2010.
The Commission published reports clearing both men of wrongdoing, but the process left the MPs under a cloud for months.
DESPITE being the favourite of the Tory hierarchy, Davidson was dogged by a series of gaffes during the autumn leadership contest.
The former BBC reporter, who only joined the Tories in 2009, was forced to sack her Holyrood assistant Ross McFarlane after mobile-phone footage emerged of him drunkenly setting fire to an EU flag in the street while a companion made sectarian remarks.
In the closing days of the contest, Davidson's three rivals – Fraser, Jackson Carlaw and Margaret Mitchell – also demanded an independent probe into whether Davidson's campaign had received an unfair advantage from the party hierarchy. Davidson had allowed the party's then head of media, Ramsay Jones, to attend a meeting of campaign strategists at her home despite him being under orders not to take sides. After the contest, Jones moved to a new post.
A spokeswoman for the Electoral Commission said: "I can confirm that we opened our case review considering potential late reporting of donations to Ruth Davidson on 29 November 2011."
John Lamont MSP, who was Davidson's campaign manager, said: "There was an error made. As soon as we identified it, we rectified it and informed the Electoral Commission. It is right that they ask for details and we continue to work closely with them on it."
