Each comedian has been a fixture on the long-running NBC sketch show, which broadcasts live and features celebrity hosts, for several years. Davidson, 28, started on "SNL" in 2014 as one of its youngest cast members; McKinnon in 2012; Mooney in 2013 and Bryant in 2012.
"SNL" airs its Season 47 finale Saturday. NBC declined to comment.
Though Davidson is credited as a main cast member, he hasn't appeared on the show in recent weeks, prompting speculation of his imminent exit. According to IMDb, other projects Davidson has coming up include the film "Meet Cute," which also stars Kaley Cuoco; "The Home, which is a horror-thriller; and "Wizards!" which also stars Naomi Scott. He's also starring, writing and producing a half-hour live-action comedy for Peacock called "Bupkis" about "a heightened, fictionalized version" of his real life.
Bryant, 35, also stars in the Netflix animated series "Human Resources," and Mooney, 37, in the show "Saturday Morning All Star Hits!"
McKinnon, 38, is set to appear in the upcoming "Barbie" film, directed by Greta Gerwig and starring Margot Robbie, and in the film "The Lunch Witch," based on the book by Deb Lucke.
Ahead of the "SNL" Season 47 finale Davidson wrote a touching and lengthy goodbye through "SNL" writer Dave Sirus' Instagram which featured a video of him hugging Jerrod Carmichael after what he said was his first sketch.
"It’s crazy to think that today I’ll be doing my last (sketch). When I got the show I was 20 years old and I had no idea what I was doing. I still don’t but especially back then," Davidson wrote. "I got to share so much with this audience and literally grow up in front of your eyes. … I owe (executive producer) Lorne Michaels and everyone at SNL my life. Im so grateful and I wouldn’t be here without them."
In a clip released May 6 from his standup set during the Netflix is A Joke comedy festival, Davidson joked about the "really weird year" he's had. The comedian was thrust further into the spotlight late last year after he began dating Kim Kardashian, newly single after splitting from her husband of almost seven years, rapper Ye – formerly known as Kanye West.
"People try to give you advice, but even friends that are older, they're like 'I don't know. It looks pretty bad, bro. Sorry, good luck. (We're) here if you need, but like, no advice,'" Davidson said. "No one was like, 'this is what you do.' Everyone's like, 'oh, yeah. You staying with your mom? You in a safe spot?'"
Late last month, Davidson and Kardashian made their red carpet debut together at the White House Correspondents' Dinner in Washington, D.C., just two days before all eyes were on them at the Met Gala in New York City.
Contributing: Hannah Yasharoff
This article originally appeared on USA TODAY: 'SNL': Pete Davidson, Kate McKinnon, Kyle Mooney, more leaving show