It didn't take her long, either, with Fineman telling Page Six that it was during her first year on the venerated late-night show that she remembered "going to all my girlfriends and being like, 'I get it.'"
The 34-year-old comedian has never dated 29-year-old Davidson herself, but said that she's had friends who have and they all "report back nice things."
Fineman said, "I've worked and chatted with him. I find him deeply charming." Fineman, in her fourth year with the show, spent three seasons working alongside Davidson before his departure last spring.
Fineman and Davidson did get cozy on camera in a hilarious "Beauty and the Beast" parody where she portrayed Bell and him the Beast. She'd better be careful, because "SNL" Disney parodies is how he wound up with Kim Kardashian (they shared a kiss in an "Aladdin" sketch).
Fellow "SNL" star Mikey Day peeled back another layer of Davidson's appeal with the outlet, calling him "cool" and "the best."
"I don’t think people know how smart he is because he’s [like], 'Yo, what’s up? I live with my mom. I’m smoking weed,'" said Day. "But he’s a very intelligent, well-spoken, interesting dude."
Perhaps too much continues to be made about Davidson's romantic life, with even him cracking jokes about it back when he was engaged to Ariana Grande. He joked that he was clearly dating up, referring to his apparently less than looks compared to Grande.
Of course, that all took a turn during that relationship when Grande helped push a new acronym to the forefront of public consciousness with B.D.E. aka "Big Dick Energy." This has been credited for many of his relationships, with Kardashian admitting that was a big (ahem) part of why she pursued him.
Davidson has only publicly downplayed any literal interpretations of the acronym, attributing it to Grande being such a petite woman. But last month, Jay Pharoah told Sirius XM's "The Jess Cagle Show" that it's all true.
Pharoah, another "SNL" alum, said that he asked Davidson how he scores one beauty after another, and Davidson admitted to his "endowment" as a factor.
"He was like, ‘Yeah, bro, it’s like 9 inches.’ I was like, ‘What? Word. Oh snap, we twins. That’s crazy," Pharoah joked.
Pharoah went on to echo what others have said, crediting Davidson's heart and vulnerability as the real reasons. "You gotta have everything in the relationship, and that’s the thin line," said Pharoah. "Pete is just a sweet dude. He’s sweet. He’s vulnerable."
Davidson and Ratajkowski recently made things semi-official by appearing courtside together at the New York Knicks game last month. There was no PDA, per TMZ, but they were all smiles.