The actor -- who has been friends with Meyers for years through their mutual SNL connection -- opened up about his relationship with Grande, and their decision to raise a pig in New York City, where they live together.
"Can I just say, this girl, she was like, 'I want a pig!' And then an hour later it was just there," Davidson said of Grande. "Like I'm still trying to get a Propecia refill for the last two weeks and this chick got a pig in a f**king hour."
Clearly, Grande has slightly better connections than Davidson, but however she made it happen, the pair got their sweet pig and appropriately named him Piggy Smalls.
Despite how adorable the new pet looks in pics, Davidson readily admitted that being a pig owner is a bit different than how he imagined, and confessed that he now understands why not a lot of people have pigs for pets -- and definitely not as house pets.
"It's big now! The first two days it was really new and it didn't move much. But now it's starting to bite and [headbutt]," Davidson said. "So I see why."
"I feel like, when you live in a city with seven million people and none of them have pigs, most people think, 'Maybe I won't also," Meyers quipped.
"Yeah, I don't think, I just kind of do," Davidson explained.
"Well, I think that's why you're great as a couple," Meyers suggested. "Because she can just summon a pig and then you can just get a tattoo of it."
As for his personal life and circle of friends, Davidson admitted that things have changed quite a lot since his engagement.
"I remember you said that back in the day, you would just leave your door open and your friends would have carte blanche to come over and crash on your couch," Meyers recalled.
"That day is over. I'm am not friends with them no more," Davidson said, laughing. "That's the best thing about your life getting better. You don't have to have out with those kinds of people anymore."
"Do you think they knew, as soon as you got engaged, that it was over for them?" Meyers asked.
"Oh, f**k yeah," Davidson shot back. "I called one of my boys and he was like, 'I knew it! Best of luck!'"
Davidson and Grande's whirlwind romance first went public back in May, and the pair were engaged within a month. Since then, the two have been very candid about their emotional connection during their interviews and in sweet social media posts.
Check out the video below for more on the couple's sweet romance.