Davis picked off Chris Mills and returned the ball 49 yards for a touchdown to give the Leathernecks (2-0) a 24-14 lead in the third quarter. Western Illinois intercepted Mills four times, including twice in the fourth quarter.
Hudson was 14 of 20 passing for 140 yards with an interception. Caulton Ray ran for 99 yards on 19 attempts.
Klay Fiechter rushed for 122 yards and a touchdown on 27 carries for the Greyhounds (0-2), and Mills threw a 52-yard touchdown pass to Mar'quone Edmonds in the third quarter to make the score 24-17. But Indianapolis, a Division II school, got no closer.