The couple, both 24, started dating in May and earlier this month it was reported they planned to marry.
Despite the rumours and several social media posts hinting that the reports were true, there had been no official confirmation – until now.
On Wednesday’s The Tonight Show Starring Jimmy Fallon, Davidson became the first one out of the pair to talk publicly about the engagement.
In a teaser of the episode posted to Twitter, Fallon jokingly remarked: “You know you didn’t have to get engaged to Ariana Grande to come on our show.”
The Saturday Night Live star replied: “But I did though! I feel like I won a contest. So sick.”
When asked how he was handling it all, Davidson replied: “It’s f****** lit, Jimmy.”
He then joked men were paying respect to him in the street and claimed one fan approached him and said: “Yo man, you gave me hope!”
Though up until now neither Grande or Davidson had confirmed their engagement, the No Tears Left To Cry singer had been pictured several times wearing a diamond ring.
Grande, who in May marked the one-year anniversary of the terror attack at her concert in Manchester, only recently ended her previous relationship with rapper Mac Miller.
She described her relationship with Miller as “toxic” and said she was “not a babysitter or a mother” in response to a comment from a fan that their split was “heartbreaking”, after he was reportedly arrested on suspicion of drink-driving.