A day after it was revealed that the comedian would not be returning to SNL next season, Pete joined castmates Colin Jost and Michael Che on Weekend Update on May 21 to reflect upon his 8-year journey on the show.
"Hello Colin, Che, and millions of people only watching to see if I bring up Kanye [West]," Davidson opened the segment. (Davidson and the "Donda" rapper have been engaged in an ongoing feud ever since the comedian began dating Kanye's ex Kim Kardashian last fall.)
When asked by Jost if he was really leaving the show, Davidson confirmed the news with a "Harry Potter" joke, saying, "Yeah man, Lorne [Michaels] accidentally gifted me a sock so I'm free."
Get Connecticut local news, weather forecasts and entertainment stories to your inbox. Sign up for NBC Connecticut newsletters.
However, the "King of Staten Island" star also took a moment to thank the "SNL" creator, who he said "always gives the best advice." Including, according to Davidson, about his 2018 engagement to Ariana Grande, which the pair called off after four months.
"I'll never forget this: I called him when I got engaged and said, 'Lorne, I just got engaged to Ariana Grande after dating for two weeks,'" he shared. "And he said, 'Oh! Hold on for dear life!'"
In a poignant moment at the end of the sketch, Davidson thanked the show for "always having my back" and "allowing me to work on myself and grow" over the last eight seasons.
"Thank you to Lorne for never giving up on me or judging me even when everyone else was," he remarked. "And for believing me and allowing me to have a place I could call home with the memories that will last a lifetime."
But Davidson isn't the only SNL cast member who said goodbye in the season 47 finale. Aidy Bryant and Kyle Mooney also took their final bows, as did Kate McKinnon, who reprised one of her most beloved characters, Mrs. Rafferty, for the show's cold open.
Since 2015, McKinnon's character Mrs. Rafferty has been known for her hilarious alien abduction survival stories -- all told in explicit detail -- that are so funny they've made even Ryan Gosling break character in the past.
This time was no exception as she hilariously explained being "yanked skyward by some kind of claw machine" in her underwear and eventually landing half-naked in Citi Field during a Mets game after her extraterrestrial encounter.
At the end of the sketch, McKinnon's character agreed to live amongst the aliens permanently. As she boarded the ship, the actress became emotional as she gave a brief wave and shared, "Well, Earth, I love ya. Thanks for letting me stay awhile. Live from New York, it's Saturday night."
(E! and NBC are part of the NBCUniversal family.)