As a, junior point guard, Bailey led Westinghouse to the quarterfinals of the Chicago Public School League championships. He missed a month of his senior season with a broken wrist, but was back in the lineup by mid January. As a senior, the team reached the semifinals. Following the season, David and junior teammate Cedrick Banks were first team All-Chicago Public School League and Martell was second team. As a second team All-state selection, he signed with Loyola. He was also recruited by Rhode Island, Northern Illinois and Southwestern Louisiana. Loyola head coachLarry Farmer was advised to recruit Bailey by his former head coach John Wooden.
College
Bailey began contributing in his first moments on the court at Loyola in 1999, and he is credited with saving a game as a freshman. Bailey had the ability to slam dunk the basketball. At Loyola, Bailey earned 2000-01 and 2001-02 first team All-Horizon League recognition and 2002-03 second team recognition. He was also a 2001-02 All-Tournament Team selection. Although the Bailey brothers played each other as Horizon League foes several times, the most notable was the 2002 Horizon League Men's Basketball Tournament where the fifth-seeded Ramblers and sixth-seeded Flames opposed each other in the championship game for a 2002 NCAA Men's Division I Basketball Tournament invitation with the entire family in attendance. Although David made the All-Tournament team, younger brother Martell's team prevailed by one point in overtime, with Martell making a steal of a pass by David with 13 seconds remaining. David scored 35 points, while Martell only contributed 3 field goals, but all of Martell's field goals came in overtime, including one following the crucial steal. Nonetheless, the Chicago Tribune described David's gritty efforts on the season as heroic. During his career, he was named Horizon League Player of the Week three times. He was also a 2001-02 All-Tournament Team selection. He led the Horizon League in assists in 2000-01 with 170 in 28 games for a 6.1 average and led the league in scoring the subsequent season with 651 points in 30 games for a 21.7 average. Bailey retired as the tenth leading scorer in Horizon League history in 2003 with 1933 points. This ranked him as the third-leading scorer in Loyola Ramblers history, and he retired as the Loyola leader in three point shots made. In his final career home game, he opposed his brother.
