Davidson joined SNL in 2014 at the age of 20, making him one of the youngest featured performers in the show’s five-decade history.
Before the season finale aired on Saturday (21 May), Davidson shared an emotional post to Instagram explaining that that night’s episode would be his last.
Appearing alongside Colin Jost in the show’s Weekend Update segment, Davidson joked about his time on the show, and his “weird” year in the public eye.
In his opening remarks, the 28-year-old referenced his relationship with Kim Kardashian and his much-publicised spat with her ex-husband Kanye West.
“Hello Colin and [Michael] Che and millions of people only watching to see if I bring up Kanye,” Davidson said.
“I never imagined this would be my life,” he said. “Look at me when I started here. Back then, I was just a skinny kid and no one knew what race I was. Now everyone knows I’m white because I became hugely successful while barely showing up to work.”
Asked by Jost if he was “officially leaving”, Davidson quipped: “Yeah man, Lorne [Michaels] accidentally gifted me a sock, so I’m free.”
Later in the segment, Davidson said that he was going to miss showrunner Michaels, adding that the producer “always gives the best advice”.
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“I’ll never forget this. I called him when I got engaged, I said, ‘Lorne, I just got engaged to Ariana Grande after dating for two weeks’ and he said, ‘Oh, hold on for dear life!’”
Davidson then recalled his first audition for the show, when Michaels “looked me right in the eye” and told him: “‘I don’t think you’re right for this show, so let’s screw this up together.’”
Davidson leaves SNL alongside cast members Kate McKinnon, Aidy Bryant and Kyle Mooney.