The funnyman and Ariana went public with their romance in May and became engaged in June, with Pete confessing he still can't believe he's dating the pop superstar.
"Do you remember when that whole city (San Francisco) pretended that kid was Batman because he was, like, sick? That's what this feels like," he said during an appearance on SNL's Weekend Update segment.
Host Colin Jost, who is dating actress Scarlett Johansson, asked his castmate if there was a pre-nuptial agreement in place, prompting Pete to joke, "Well, obviously I wanted one, so God forbid, we split up and she takes half my sneakers...," before adding, "I'm totally comfortable being with a successful woman. I think it's dope. I lived at her place (and) she pays, like, 60 grand for rent and all I have to do is, like, stock the fridge."
Stating, "I love her very much", the comic also raved about the track his fiancee dedicated to him on her new album, "Sweetener", adding, "You know, I even get royalties for that Pete Davidson song... In 10 years... there will be a song called Pete Davidson playing in speakers at (American discount retail chain) K-mart, and I'll be working there."
Highlights of the SNL season premiere also included musical guest Kanye West's sets.
The rapper, who replaced Grande on the show when she pulled out of the episode citing emotional issues following the recent death of her ex-boyfriend Mac Miller, hit the stage with Lil Pump and Teyana Taylor for performances of their hits "I Love It" and "We Got Love".
He also ended the show with a rare third set, performing "Ghost Town" with Kid Cudi and "070 Shake".
Meanwhile, the show opened with a skit targeting the Senate Judiciary Committee hearing surrounding U.S. Supreme Court nominee Brett Kavanaugh's alleged past sexual misconduct, which grabbed headlines on Thursday. Matt Damon portrayed the accused lawmaker.