The 45-year-old actress set tongues wagging as she and the "Saturday Night Live" comedian left his comedy gig in Los Angeles on Friday night, February 01 via the back door.
Leaving the Largo at the Coronet, Kate tried to cover her face and hair from the rainy weather as she walked hand-in-hand with Pete, 25, to a waiting vehicle.
Rumours surrounding the couple began when they were reportedly seen flirting and sipping champagne together at a Golden Globes party hosted by Netflix last month.
When asked about rumours of her relationship with Pete, Kate was quick to dispel the criticism. While sharing a glam photo of her mother Judy on Instagram, one follower commented, "Dear heavens, Kate. Not Pete Davidson."
"No that's my mother. Easy mistake," she quipped in response.
Pete was most recently in a relationship with popstar Ariana Grande, though the pair parted ways in October (18) after a brief engagement.
Kate remains on friendly terms with her ex, Michael Sheen, with whom she shares daughter Lily, 20. The British star went on to wed American director Len Wiseman in 2004, but the couple split in 2016.