It marked the first major event for Davidson since splitting with Kim Kardashian on Aug. 5.
"Ted Lasso" won Comedy Series for the second consecutive year, beating out "Abbott Elementary," "Barry," "Curb Your Enthusiasm," "Hacks," "The Marvelous Mrs. Maisel," "Only Murders In the Building" and "What We Do In the Shadows."
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Before he opened the envelope, Davidson gave a shout-out to Emmys host and former "SNL" co-star Kenan Thompson, saying, "The guy's been in the zone for the past 30 years, just making us smile, nothing but net. He's an absolute treasure and I'm honored to call him a friend."
Davidson then joked, "This is just like 'SNL' because Kenan is doing all the work and I'm refusing to say what the writers want."
Photos: 2022 Emmys Red Carpet Looks
It was a big night for Davidson, who also got to celebrate "Saturday Night Live's" sixth consecutive win for Variety Sketch Series.
It will be the last opportunity for Davidson to revel in a "SNL" win, however, as he announced his departure from the legendary sketch series in May, joining co-stars Kate McKinnon, Aidy Bryant and Kyle Mooney in leaving "Saturday Night Live" after its 47th season.
Though Davidson is leaving "SNL," he still has major television plans ahead of him.
Davidson is set to star in Peacock's "Bupkis," based on a fictional version of his own life. Starring, written and executive produced by Davidson -- and co-starring Edie Falco as Pete's mom and Joe Pesci as Pete's grandfather -- the series will "combine grounded storytelling with absurd elements from the unfiltered and completely original worldview for which Pete is well known," according to the streamer.
(E! and NBC are both part of the NBCUniversal family.)