- His father, Scott Matthew Davidson, died during the September 11, 2001, terrorist attacks as a firefighter. He sometimes makes light of the situation in his comedy routines, especially the roasts.
- He is the first SNL cast member to be born in the 1990s.
- Named his comedy special "SMD" because it was his father's initials, but also because it has an obscene meaning.
- His father was of mostly Ashkenazi Jewish heritage, with some German and Italian. His mother is of Irish descent. Pete was raised Catholic.
- In the short time that they've been together, he has gotten 4 tattoos dedicated to Ariana Grande: her initials, her bunny ear logo, an inside joke they have, and their favorite song.
- Engaged to Ariana Grande from June 2, 2018 to October 14, 2018.
- Dated Kate Beckinsale from January 2019 to April 2019.
- Dated Cazzie David from April 2016 to May 2018.
- Dated Kaia Gerber from October 2019 to January 2020.
- Dated Margaret Qualley from August 2019 to October 2019.
- Dated Carly Aquilino from 2014 to 2015.
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