David was the younger brother of Arthur Denny (1822-1899), who with his father John Denny had led a party of settlers from Indiana to the Willamette Valley. Hearing reports about Puget Sound, Arthur dispatched his brother and John Low to scout the area. They trekked north along the Cowlitz River and trail to the village of Olympia, where they teamed up with Lee Terry and Capt. Fry for a sail north.
For the next three days the party explored Elliott Bay and the Duwamish River. Low and Terry had in mind to start a town, and on September 28, 1851, selected Donation Land Claims on Alki Point.
David Denny and Lee Terry began to build a cabin on the site while John Low returned to the Portland, Oregon, area to collect the balance of a party of pioneers led by David's older brother Arthur Denny.
The Denny Party arrived on November 13, 1851, aboard the schooner Exact and found the Low cabin still unfinished. Most of the group, with the exception of Lee and brother Charles Terry -- who dubbed their community "New York" -- relocated to present-day Seattle the following spring.