While on the late-night show on Thursday, 29-year-old Cyrus sang a cover of Yvonne Fair's "It Should Have Been Me," which is about a woman who's sad to see the love of her life marrying someone else.
"Pete Davidson, this song is for you. When I saw those photos, this is what I played," Cyrus told the Saturday Night Live star as he happily watched the performance.
Halfway through the song, Cyrus walked over to Fallon's desk, sat on it and draped one leg across Davidson's lap, who was seated in the guest seat. She then took off Davidson's hat and put it on herself.
Davidson cracked up at the performance, as Cyrus referenced his recent romantic outings with Kim Kardashian West.
"It should have been me," Cyrus sang, before switching up the lyrics. "In that Lamborghini leaving that nice a** restaurant! I want to watch a movie in frickin' Staten Island."
While Davidson has not publicly addressed his romance with Kardashian, he has made light of the public's interest in his personal life.
In November, he seemingly joked about the romance rumors while on Late Night With Seth Meyers. "I want to address something. I feel like I want to confirm if it's real or rumor," Meyers said to Davidson. "This is something you've been reading a lot about in the press."
Grinning, Davidson replied, "Yeah, I've been wanting to talk about this because there's a lot of people I walk by, people are whispering, making eyes at me."
He then quipped, "But it is true, I do have a show on Tubi coming out. The Tubi. A lot of people are shocked that I could get on a show like Tubi, but it's a real thing."
As for what fans are actually talking about, a source told ET that "Kim and Pete are dating and having a great time together."
"Pete is a romantic and goes out of his way to make Kim feel special," the source said. "Kim thinks Pete is hysterical and he's constantly making her laugh, but they also have been connecting on a deeper level."
Davidson will still be ringing in the New Year with Cyrus in Miami, Florida! Miley's New Year's Eve Party will air live on Dec. 31 from 10:30 p.m. to 12:30 a.m. ET on NBC and will be live-streamed on Peacock.