The reality star and the 'Saturday Night Live' castmember were all smiles as they walked hand-in-hand.
The pair were spotted holding hands while in Palm Springs, California, on Wednesday, while celebrating Davidson's birthday.
Kardashian, 41, was dressed casually in a white high-thigh bodysuit, gray sweatpants and sneakers. Davidson, meanwhile, rocked a navy Calvin Klein hat, a black T-shirt, a pair of plaid SKIMS pajama pants, yellow socks and colorful New Balance sneakers.
Both stars couldn't help but beam as they took a stroll and walked hand-in-hand.
As for the seriousness of their relationship, a source recently told ET that the mother of four and the King of Staten Island star "are connecting on a deeper level."
"Kim and Pete are dating and having a great time together," the source said "Pete is a romantic and goes out of his way to make Kim feel special. Kim thinks Pete is hysterical and he's constantly making her laugh, but they also have been connecting on a deeper level."
The pair first sparked romance rumors back in October when photographed clutching each other's hands on a rollercoaster at Knott's Scary Farm.
Since then, the two have been spotted on several dinner dates, including one at Pete's favorite spots in his hometown of Staten Island, New York.
Another source told ET, "Pete and Kim are 100 percent dating and are very into each other. They are pretty much inseparable and very affectionate when they're together."
The comedian -- who was previously engaged to Ariana Grande and has dated a number of other celebrities -- is the first man the reality star and fashion mogul has been romantically linked to since filing for divorce from Kanye West back in February.
For more on their burgeoning romance, see the video below.