"This girl was like, 'I want a pig!' and then an hour later it was just there," he said. "It was f-----g nuts."
He then told Seth he understands why pigs aren't common pets.
"The first two days it was really new and didn't move much, but now it's starting to bite and starting to (mimicked head butt)."
Seth went on to congratulate the SNL star on his engagement and talked about how his friendships have changed since the comedian popped the question.
"Back in the day," Seth, who left SNL just prior to Davidson's debut, explained, "you would just leave your door open and your friends would have sort of 'carte blanche' to come over and crash on your couch."
"That day is over, I am not friends with them no more," Pete responded, laughing. "That's the best thing about your life getting better, you just don't have to hang out with those people anymore."
"I called one of my boys, he was like, 'I knew it, best of luck,'" Davidson added when the host asked whether his friends could tell their time together was ending.
Check out the video to watch the rest of Pete's interview with Seth.