"You get to date a famous woman and everyone's delighted, but I do it and America wants to punch me in the throat," Davidson joked, referring to the criticism he's gotten in the press and on social media for his relationship with the 18-year-old model.
According to Davidson, he doesn't understand why people are so mad about it, because he's about the best choice Kaia could have when it comes to dating guys who look like him.
"There's a million guys who look like me and I'm the only one who has a job," Davidson said. "It's just me and Tyga."
Davidson, who seemed uncharacteristically nervous, also joked about how weird it is to come out right after the night's host, Eddie Murphy, had just sat down with Jost and Michael Che to reprise his iconic SNL character, Gumby.
"I can’t believe you guys let me do this during the Eddie Murphy episode. So many fans being reminded why they stopped watching," Davidson joked.
However, the 26-year-old comic also made some fans concerned with a remark about his vacation plans while SNL is on winter hiatus.
"I'm going on 'vacation' but insurance pays for some of it, and they take your phone and shoe laces," Davidson said, implying that he plans on checking himself into a mental health facility, "and it costs $100,000 but I still have roommates."
Nothing but respect for #PeteDavidson who just said he’s going away to rehab, live on #snl. It takes guts to admit to a problem and commit to getting well. I rarely tweet but it really touched me, rooting for him.