The comic appeared on 'SNL' briefly after concerning fans with an Instagram post that led some to worry he planned on harming himself.
The 25-year-old comedian went most of the new Matt Damon-hosted episode without appearing in any live sketches, and made his only appearance when he introduced Miley Cyrus' second performance of the night.
Earlier in the day, Davidson deleted his Instagram account after sharing a cryptic and concerning message that caused many to worry that he planned to harm himself.
"I really don't want to be on this earth anymore. I'm doing my best to stay here for you but i actually don't know how much longer i can last. all i've ever tried to do was help people," Davidson wrote. "Just remember I told you so."
Police confirmed to The Hollywood Reporter that they had performed a "wellness check" on the comic following his post, and later said authorities had made contact and that Davidson was "safe."
The post came after Davidson, who has been open about his struggles with mental illness, gave a shout-out to Kanye West for speaking out about the issue.
"Bravo Kanye West for standing up for yourself and speaking out against mental health," he wrote. "I can't explain to you enough how difficult and scary it is to be honest about stuff like this. We need people like Kanye. No one should ever point fingers at you for your bravery in speaking about mental health. I'm seriously disgusted."
Last week, Davidson also got candid about his mental health struggles and his experiences as the target of cyberbullies.
"I’ve been getting online bullied and in public by people for 9 months. I’ve spoken about BPD and being suicidal publicly only in the hopes that it will help bring awareness and help kids like myself who don’t want to be on this earth," he wrote at the time. “No matter how hard the internet or anyone tries to make me kill myself. I won’t. I’m upset I even have to say this.”
Watch the video below for more on Davidson's emotional post.