On SiriusXM's The Howard Stern Show on Monday, Davidson revealed that when he started dating his fiancee Ariana Grande, he received extreme hate messages and threats on his life.
"I got a death threat. Someone wanted to shoot me in the face. Because she's so hot. You know how insane that is? Am I that ugly that people want to shoot me in the face?" Davidson said.
The Saturday Night Live star also said he "doesn't have the internet anymore" and admitted that even if he is pressured by others to use apps like Instagram to promote his work, he refuses.
"I can't, I don't f**king care. It makes me feel weird about myself," the 24-year-old comedian said. "It's just like, 'Well, what did you expect?' Whenever I think of something, if I post something I like, and then people just s**t all over it, you're asking for it."
"And if you want to find bad stuff about yourself, you can very easily," he added.
"The Internet is an evil place and it doesn't make me feel good," he wrote at the time. "Why should I spend any time on negative energy when my real life is f**king lit. The fact that I even have to say this proves my point. I love you all and I'm sure I'll be back at some point. Your neighborhood goon, Pete."
Davidson admitted to Stern that he tries to ignore the internet hate, but it's a struggle.
"I'm able to let it bounce off, but I think it would bother anybody. I want to beat everybody up, but you can't," he said.
Davidson's SNL co-star, Kenan Thompson, spoke with ET at the Emmys about the extra pressure the Davidson is under with online fans and praised his resilience.
"It's hard being a millennial on social media and all of that, so he's just, like, exposed to a lot of criticism or, like, indirect negativity or whatever, but he handles it really well," Thompson said.
He added, "It's like a constant bombardment of what people think of you, you know what I mean? And it takes a lot to navigate through that."
Happily, Davidson isn't letting any of the comments or negativity get to him and his relationship with Grande. He told Stern about meeting Grande in the writers' room at SNL and how unbelievable he thought she was.
"I was just staring at her," he said. "And my boy, Dave, who worked there at the time, we were just looking at each other like, what the f**k is this thing? [She's] like a robot."
He added, "When she left, I was like, 'What a f**king idiot I am.'"
Davidson credits Grande's manager, Scooter Braun, for helping connecting him to the singer after her SNL appearance, noting "timing is everything."
"I just think some people are meant to be together and some people aren't. Even if they are good people or not, some people just aren't good in relationships together. And I just think we're supposed to be together," he said.
Davidson also joked that he still doesn't think he's "good enough" for her, saying "I tell her that every day."
"Before we started dating, I literally went through a list, I scrolled through a list of really hot guys on the internet. I was like, 'Are you sure?' Here's all of One Direction," he said.
Davidson is clearly happy though, describing their engagement as "the weirdest, coolest thing that's ever happened."