"Hello, Colin and Che and millions of people only watching to see if I bring up Kanye," Davidson said, as he opened up his farewell -- which marks his first live appearance on the show in several months.
"Yeah, you had a weird year," Jost replied.
"Yeah. I just -- I never imagined this would be my life," Davidson shared. "Look at me when I started here. Back then I was just like a skinny kid and no one knew what race I was. Like now, everyone knows I'm white because I became hugely successful while barely showing up to work."
When asked what he would miss most about his time on the show, Davidson said he would definitely miss the show's iconic creator and producer, Lorne Michaels.
"He really always gives me the best advice," Davidson shared. "This is all true. I'll never forget. I called him when I got engaged. I was like, 'Lorne, I just got engaged to Ariana Grande after dating her for two weeks.' He goes, 'Oh, well hold on for dear life.' It's a true story."
"And then when I auditioned for SNL he said, 'I don't think you're right for this show, so let's screw this up together,'" Davidson added. "And that's exactly what we did! And that's why people who don't think I deserve the job shouldn't really hate me since we have so much in common. Like, if anything, I should inspire hope that literally anyone can be on Saturday Night Live."
Davidson concluded on an emotional note, sharing, "I appreciate SNL, and Lorne for never giving up on me and believing in me and allowing me to have a place that, like, I could call home with memories that will last a lifetime, so thank you guys."
Davidson confirmed Saturday afternoon that he would be leaving the show, alongside fellow departing castmembers Kate McKinnon, Aidy Bryant and Kyle Mooney.
Davidson joined SNL in 2014 at age 20, making him one of the youngest stars to ever join the cast in the show’s 47-year history. Early on, he gained attention for his "Weekend Update" banter and for his appearances as Chad, the recurring character known for his oblivious reactions to a laundry list of outlandish circumstances.
For more on Davidson's high-profile year -- which has largely been in the spotlight for his relationship with Kim Kardashian and feud with Kanye West -- check out the video below.