Pete Davidson & Kate Beckinsale Hold Hands at His Stand-Up Show Featuring Ariana Grande Jokes

Pete Davidson had a special someone supporting him at his stand-up show in Los Angeles on Friday night.

The Saturday Night Live star, 25, stepped out with rumored flame Kate Beckinsale, 45. The duo held hands as they left famed music and comedy venue Largo at the Coronet in West Hollywood, California.

Davidson’s latest set featured some material from his Jan. 12 show at the Tarrytown Music Hall in New York — including a joke about ex-fiancée Ariana Grande‘s infamous comment about the size of his penis, which he called a “mean” but “also genius” move.

“I don’t like that she talked all that s— for my penis,” Davidson joked in January.

“Everything is huge to her,” he continued. “Why would she tell everyone that I have a huge penis? So that every girl who sees my d— for the rest of my life is disappointed.”

Davidson and Beckinsale stayed close as they made their way to a shared car on Friday. She wore a black and white plaid trench coat and black stiletto boots and carried a black bag. Davidson, meanwhile, kept it casual in black sweatpants and a powder blue t-shirt with rolled-up sleeves that revealed some of his tattoos.

After the show, Davidson and Beckinsale went to his hotel in Santa Monica, a source tells PEOPLE.

“They arrived at the hotel hand-in-hand,” says the onlooker. “Kate looked gorgeous.”

Reps for Davidson and Beckinsale did not immediately return PEOPLE’s requests for comment.

RELATED: Moving On? Pete Davidson Hit It Off with Kate Beckinsale at Golden Globes Afterparty

The stars were first spotted together in January, when they hit it off at Netflix’s Golden Globes afterparty.

As PEOPLE previously reported, the two talked intently for most of the night there, keeping their focus on each other even while mingling with Davidson’s close friend Machine Gun Kelly (née Colson Baker), Isla Fisher and Sacha Baron Cohen. Eventually, the other members of the group wandered off, and Davidson and Beckinsale continued to chat. One onlooker said they cuddled at the party as well.

Despite reports, the two did not leave together, a separate source told PEOPLE.

RELATED: Kate Beckinsale Ribs Fan Shading Her for Chatting Up Pete Davidson at Golden Globes Afterparty

Days later, Beckinsale clapped back at a critic who tried to criticize her for her time with Davidson.

It all started after she shared an old photo of her mother, 71-year-old actress Judy Loe, to Instagram.

In an exchange captured by the popular Instagram account Comment by Celebs, one of Beckinsale’s followers wrote, “Dear heavens, Kate. Not Pete Davidson.” And without missing a beat, Beckinsale responded, “No, that’s my mother. Easy mistake.”

Davidson split from Grande in October, and though the comedian has admitted to having a hard time in the months since, a source recently told PEOPLE he is embracing his bachelorhood.

“He is very much enjoying being single as he is focusing on himself,” the source said in late December.

Beckinsale was last linked to 23-year-old comedian and actor Matt Rife. The Underworld star shares 20-year-old daughter Lily Mo Sheen with actor Michael Sheen, whom she dated for eight years, and was married to director Len Wiseman from 2004 to 2016.

RELATED: Kate Beckinsale Hospitalized for Ruptured Ovarian Cyst as Stars Show Support: This ‘Really Hurts’

Earlier this month, Beckinsale was hospitalized after suffering a ruptured ovarian cyst.

“Turns out a ruptured ovarian cyst really hurts and morphine makes me cry. So thankful to everyone who looked after me,” she captioned two Instagram shots of her from her hospital bed, adding “#wobbly.”