Grande arrived onto the scene next to Davidson wearing a metallic dress with long grey boots while the comedian kept things casual, wearing a white long-sleeve shirt, black jeans and Adidas sneakers.
The couple posed together for photos and were seen getting close to each other.
Grande won the award for Best Pop video at the VMAs for "No Tears Left to Cry." As the singer accepted her Moon Man award, she thanked Davidson as he looked on from the audience.
"Pete Davidson, thanks for existing," she said.
Grande and Davidson became engaged after a few weeks of dating in June.
"We met on SNL, like, two, three years ago," she said of Davidson. "We never, like, exchanged numbers or anything, we weren't even friends for a long time, but I had the biggest crush in the whole world on him."
"I left and I jokingly said to my tour manager, I was like, 'I'm marrying him, 100 percent.' I was like, 'I'm literally marrying him,'" she continued.