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"I lost my dad on 9/11, and I always regretted growing up without a dad," he told the pop singer, "until I met your dad, Justin. Now I'm glad mine's dead."
The reaction to that joke included both laughs, awkward silence, and groans. Everyone, though, paid attention.
"I like doing that," Davidson, 21, told the New York Times. "I like making things that are dark, awkward, weird things that you don't really find funny, funny."
He said a lot of that has to do with his father's death. Davidson, "SNL's" youngest cast member last year, was seven years old when his father died in the terrorist attack.
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"I just blended in perfectly," he told the Times. "I feel very safe - you can say whatever you want."
It was here that he honed his craft and realized why he liked to bring humor from dark places. Much of it stems from what he went through after his father died in 9/11.
"There's nothing I won't joke about, and I think it's because of what happened to me," he said. "That's the worst thing that could ever happen to somebody. Now it's just like, 'Who cares, man?'"
Davidson returns for a new season of "SNL" starting this Saturday at 11:30 p.m. on NBC.