His father, firefighter Scott Matthew Davidson of the New York Fire Department, tragically died on the events of 9/11 when Pete was seven years old. This is frequently joked about in his stand-comedy (which he started doing as a therapeutic way to cope with this trauma) and occasionally his SNL appearances. Pete also has a younger sister named Casey, who had a brief, non-speaking part on an SNL music video during one of their SNL Stays At Home episodes. His movie The King of Staten Island is basically a semi-autobiography about Davidson struggling with his sanity and using drugs as a coping mechanism for grieving over his deceased firefighter father, especially when his sister moves away to college and his mom starts dating for the first time in years...and her new man is another firefighter.
Outside of his work, Davidson is also notable for his many public relationships with other celebrities, including Ariana Grande (to whom he was briefly engaged, and who wrote a song named after him on her album Sweetener), Margaret Qualley, Kate Beckinsale and Kim Kardashian.
- Trainwreck (2015) — Dr. Conner's Patient
- Set It Up (2018) — Duncan
- What Men Want (2018) — Danny (uncredited)
- Big Time Adolescence (2018) — Zeke (also executive producer)
- The Dirt (2019) — Tom Zutaut
- The Jesus Rolls (2019) — Jack Bersome
- The Angry Birds Movie 2 (2019) — Jerry (voice)
- The King of Staten Island (2020) — Scott Carlin (also served as co-writer and co-executive producer)
- The Suicide Squad (2021) — Richard Hertz/Blackguard
- Good Mourning (2022) — Barry
- Bodies, Bodies, Bodies (2022) — David
- Meet Cute (2022) — Gary
- Transformers: Rise of the Beasts (2023) — Mirage (voice)
- Brooklyn Nine-Nine (2013) — Steven (1 episode)
- Saturday Night Live (2014-22) — Various characters, including Chad (a blasé slacker who doesn't notice or care when strange and serious situations happen to him, from having people confess their love to him to being stalked by an insane killer, and to going inside a Narnia-esque fantasy world and chosen to lead a kingdom's army to victory), Gavin Daley (a high schooler who has scored with female teachers and has been to their criminal trials to tell about it), and Michael (a worker at Mattel hired to create Instagram captions for Barbie). His notable celebrity impressions include Russell Brand, L'il Pump, Timothée Chalamet, Adam Sandler, David Blaine, Jared Kushner, Rami Malek, Michael Avenatti, and Governor Andrew Cuomo.
- The Rookie (2020-22) — Pete Nolan (3 episodes)
- The Freak Brothers (2020-present) — Phineas T. Phreakers (voice) (also executive producer)