Conway said Wednesday the sculpture of the Confederate leader and Kentucky native belongs in a history museum, not the Capitol.
A day earlier, Conway told reporters he would "have to chew on that one a little bit" when asked about the Davis statue.
Conway said Wednesday he had spoken with black leaders about the statue.
Matt Bevin, the Republican nominee for governor, favors removing the statue. So do U.S. Senate Majority Leader Mitch McConnell and Kentucky Senate President Robert Stivers. Gov. Steve Beshear says it's time to reconsider the statues representing Kentucky in the Capitol.
The rotunda features sculptures of Civil War rivals Davis and Abraham Lincoln, also a Kentucky native.
