Davidson was photographed at Saturday’s show, which was held at the Wolstein Center at Cleveland State University.
Kelly was one of the first to jump into action after Davidson posted and later deleted an Instagram message that implied he was losing his will to live.
Davidson’s alarming note came right around the time he was rehearsing for the December 15 episode of “Saturday Night Live.” The NYPD confirmed to CNN that they met with the comedian following calls for a wellness check.
Reps for Davidson and “SNL” declined to comment.
Following “SNL,” Davidson and Kelly were spotted outside NBC’s 30 Rock building.
Davidson has been open about his struggles with mental health, in part, he has said, to help others who may face similar challenges.