The 25-year-old comedian raised concern after he posted on Instagram on Saturday, December 15: "I really don't want to be on this earth anymore. I'm doing my best to stay here for you but i actually don't know how much longer i can last. All i've ever tried to do was help people. Just remember i told you so."
Pete deleted his Instagram account shortly after.
His famous friends – including Jon Cryer, Machine Gun Kelly and Kid Cudi – posted supportive messages in response to his alarming post, and Jon later confirmed that Pete was safe and accounted for at the "Saturday Night Live" studios in New York.
A public information officer with the New York Police Department told People they had sent officers to do a welfare check on Pete after worried phone calls from friends and fans.
And in a series of since-deleted tweets, Ariana Grande, the comedian's ex-fiancee, revealed she was downstairs at the Comcast Building in New York - where "SNL" is filmed - if Pete needed her.
"I'm downstairs and I'm not going anywhere if you need anyone or anything. I know u have everyone u need and that's not me, but i'm here too," she wrote in a message aimed at the comedian on Twitter.
Despite his worrying post hinting at suicide, Pete appeared live on "SNL" on Saturday, and introduced the night's musical guests - Miley Cyrus and Mark Ronson. He also made a brief appearance as Rami Malek in a pre-taped sketch that focused on finding a new host for this year's Academy Awards.
"Bravo Kanye West for standing up for yourself and speaking out against mental health," the funnyman wrote. "I can't explain to you enough how difficult and scary it is to be honest about stuff like this. We need people like Kanye."
Although he did not address Ariana by name, he added, "No one should ever point finger at you for your bravery in speaking about mental health. I'm seriously disgusted."