Davis (R-Illinois 13th) said he first dove into the dugout while shots rang out. Had they not been there, Davis said, it "would have been a massacre".
He joined others in the dugout before fleeing across the street and taking shelter behind a row of cars.
There, Davis called 911, his wife and his children.
Although the practice was taking place in Alexandria, Va., across the Potomac River from the Capitol, police were on hand to protect Rep. Scalise, the majority whip and No. 3 Republican in the House of Representatives.
The shooting happened in the 400 block of E. Monroe Avenue. President Donald Trump joined a chorus of leaders who hailed the officers as heroes.
Asked about security, he said it would likely be stepped up, but said "We've got to stop. I thought he was dead", Davis said.
Rep. Steve Scalise (R-LA), a congressional aide and two Capitol Hill police officers were injured in the shooting.
'We were like sitting ducks,' Congressman Fleischmann in shock after shooting
She said she is heartbroken for the victims, their families and all who had to endure the attack. The House cancelled proceedings for the day. "Please pray for my colleagues", Duncan said.
"This has got to stop, and it's got to stop today", Davis said.
Other Illinois congressmen who were on the team include Darin LaHood and John Shimkus, who were not at the practice Wednesday.
House Majority Whip Steve Scales R-La. and others were wounded during the early morning shooting.
Davis said while the event was a tragic day in the history of the county, it is also a day that everyone needs to stand together.
Davis, a Republican from IL, credited U.S. Capitol Police officers on the scene of Wednesday's shooting outside Washington D.C. He said had they not been there, it "would have been a massacre". "I wish everyone injured a full and speedy recovery", she said in a statement. I am thankful for the great courage of the Capitol Police, who were my protectors after I was shot and became my friends.
"He's loyal to the person he's assigned to protect", Brooks said of the officer. Scalise said he was grateful for the actions of the Capitol Police. "This political hateful rhetoric that's going on, be it social media or in the news cycle where it seems as though Republicans and Democrats don't get along out here, that's just not true, and what that rhetoric and that hatefulness has led to is members of Congress, I believe, having to dodge bullets today at a baseball practice for a game that we play for charity that raises over $600,000 for local DC charities".
"It's that important that a message gets out that the hatefulness, this political rhetoric hate - this could be the first political rhetorical terrorist act - that has to stop".
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