"I care more about America than your feelings, I do," Apatow joked.
"I feel like I am America," Davidson retorted. "I'm a good guy that just keeps getting kicked in the d**k. You're like, 'Ah, that f***ing poor kid. Hope he doesn't kill himself.' That's America."
Prior to their split, Ariana and Pete were living together in the singer's lavish $16 million New York apartment.
Though it has been a difficult time lately for Pete, the SNL star "was not too down", a source told Us, adding the comedian was even "laughing at some of his own jokes."
Even so, the comic admitted it was not easy appearing on stage.
The star had actually cancelled an upcoming gig at Temple University in Philadelphia due to "personal reasons", but still managed to swing by on Saturday.
"I think you could tell I didn't want to be here… There's a lot going on," he told the crowd.
Judd commended him for making it out in light of everything.
"You came out. You came out," he said.
"Well, you put me on the flier," Pete replied.
He also addressed the matching tattoos he got with Ariana, admitting he had been covering them up.
"Um, I've been covering a bunch of tattoos, that's fun," he said, according to E!. "I'm f**king 0 for 2 in the tattoo [department]. Yeah, I'm afraid to get my mom tattooed on me, that's how bad it is."
Now Pete realizes getting the tattoos was not the smartest thing to do.
"So, obviously you know I, we [Ariana and I] broke up or whatever but when me and her first got engaged we got tattoos," he said. "And it was like in a magazine like, 'Was Pete Davidson stupid?' And 93% said yes."
"So my boy, he was like, 'Don't listen to that s**t man. They're literally f**king haters.' And I'm like, yeah, f**k that. I'm not stupid. And the other day we were in my kitchen and he was like, 'Yo bro. Turns out you were stupid.'"
Pete also spoke about seeking mental health treatment after an audience member asked about dialectical behavior therapy.
"This is what they tell you when you have mental illness … they go, "Oh, you're sad? Hold onto a pack of ice."
"Nobody knows what the f**k they're doing … I'm f**king paying $2,000 dollars a session to hold f**king ice cubes."
"They're like, 'Yeah, you're sad. Go listen to music.' 'Oh, thanks! Never thought of that.'"
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• Lifeline: 0800 543 354 (available 24/7)
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• Whatsup: 0800 942 8787 (1pm to 11pm)
• Depression helpline: 0800 111 757 (available 24/7)
• Rainbow Youth: (09) 376 4155
• Samaritans 0800 726 666
• If it is an emergency and you feel like you or someone else is at risk, call 111.