The star, who is now engaged to 25-year-old popstar Ariana Grande, also suffers from borderline personality disorder, which reportedly leaves him depressed "all the time".
As has been widely reported, Davidson and Grande announced their engagement in June after reportedly only dating for about a month. "Am I that ugly that people want to shoot me in the face?" "You know how insane that is?"
"Initially I went right home, I went to Florida", she recalled to Good Morning America in August.
"Any time we're intimate I'm always apologizing and saying thank you".
"I can't even put into words how great of a person she is".
"Timing, I feel like, is everything and we both were in a similar situation at the same time", Davidson said. "Who knew I was practicing this whole time [for our relationship.]?"
When Stern asked if he pitched a joke to her and bombed, Davidson added, 'I don't even remember, I was just like staring at her'.
"I tell [Ariana] that every day", Davidson said.
The pair met when Grande guest hosted "SNL" in 2014. If you want to find bad stuff about yourself you can, very easily.
The shock jock told Davidson, 24, that he thinks his love story is, 'amazing, ' and when Stern asked how he started dating the pop star, the comedian said it was all about timing. "It's like the weirdest, coolest thing that's ever happened", he said about his fiancee's statement. "And I just think we're supposed to be together", he said.
"Some people just aren't good in relationships together". "I was like 'Here is all of One Direction".
'I got a death threat, ' Davidson said. "It's just like, 'Well, what did you expect?' Whenever I think of something, if I post something I like, and then people just s**t all over it, you're asking for it".