And this rings especially true when it comes to his relationship with girlfriend Elsie Hewitt. Because one month after she announced that they were expecting their first baby together, the "Saturday Night Live" alum expressed his regret that she wouldn't get to experience a normal pregnancy.
"I feel bad for my girl because I bring a lot of s--t," Davidson said during his Aug. 13 interview on "The Breakfast Club." "Anything I do or she does now is gonna be a thing."
While the "Bupkis" star has previously opened up about how difficult it is to navigate relationships in the public eye, he feels especially bad that Hewitt, 29, will suffer collateral damage from all the attention.
"She's a very private person and she's the one doing all the work," the 31-year-old continued. "It's supposed to be a beautiful experience."
And although Davidson can't necessarily do anything to make the situation better, he couldn't help but feel responsible.
"She's never made me feel this way or said anything," he explained, "but I feel so guilty and horrible that I could not allow her to have the ideal pregnancy that almost every woman gets to have and enjoy."
Even so, he and Hewitt share a love that transcends all the challenges that may come their way. So, after they "held off as long as we could" before the media let the cat out of the bag, the couple shared the big news on social media.
And one week later, Davidson shared how he really felt about becoming a dad.
"I'm very lucky and very, very happy," he told E! News last month, adding that he's looking forward to "being able to take care of something and show it the childhood I didn't have. I assume you just try to give then what you didn't have, and what you didn't like, not do it."
"Everybody's just been super excited for me, because they know it's been my dream," Davidson shared. "They all just have been like, 'You're going to be great at this. It's the best thing you'll ever do in your life.' Sandler gave me some great advice."
"It's been really nice that everyone's super excited," he added. "When you do something, when we do anything, you want everyone to be excited, especially having a child."