In the present work, we explore the potential of spin-orbit (SO) coupled Bose-Einstein condensates to support multi-component solitonic states in the form of dark-bright (DB) solitons. In the case where Raman linear coupling between components is absent, we use a multiscale expansion method to reduce the model to the integrable Melnikov system. The soliton solutions of the latter allow us to reconstruct approximate traveling DB solitons for the reduced SO coupled system. For small values of the formal perturbation parameter, the resulting waveforms propagate undistorted, while for large values thereof, they shed some dispersive radiation, and subsequently distill into a robust propagating structure. After quantifying the relevant radiation effect, we also study the dynamics of DB solitons in a parabolic trap, exploring how their oscillation frequency varies as a function of the bright component mass and the Raman laser wavenumber.