Judaism is unique as a religion because, as Eli Lederhendler puts it, "Jewish ethnicity, nationhood, and religion are strongly interrelated, as [it] is the ethnic religion of the Jewish people." Which means that the practice of the religion isn't just what makes someone Jewish, but it's a racial and ethnic identifier for many people as well.

Scott Davidson, Pete's father, was raised Catholic, attended St. Joseph by the Sea High School, and was part Italian but was mostly of Jewish ancestry. After he tragically died in the Sept. 11 attacks on the World Trade Center, his Requiem Mass was held at St. Clare's Roman Catholic Church. The comic's mother is Irish Catholic and he was raised Catholic as well, even attending the same school as his father.

In a 2017 interview with Hot 97 Radio, Pete talked about how he recently discovered his Jewish ancestry in response to a lot of fans asking if he is biracial, which he clarified by saying, "I'm an Irish Jew." He continued by saying, "I mean I was raised Catholic but...I did that blood test ancestry stuff and I'm like where's this 48% Jew coming from?! And my mom's like, 'Uh, yeah your dad's side...'"

At the time, he was dating Larry David's daughter, Cazzie David, and said it was a "celebration" once she and her parents found out about his ethnic makeup. You can check out the entire interview below, where the talk about his genealogy begins around the 5-minute mark.