is mourning the death of a family member.
The comedian, 29, shared the news of his dog Henry's death on Thursday with an emotional message posted via the Instagram account of , who's a writer on Davidson's new Peacock show
"Hey guys. I know today is the premiere day but I wanna use today to remember my dog Henry," the post began, accompanied by a slideshow of photos of the fluffy pup. "Yesterday we lost a key member of the Davidson family. Henry was only 2 years old but unfortunately got very sick very fast."
"My mom, sister and I got Henry at the beginning of the pandemic and he saved our lives," Davidson continued. "Not sure I'd even be around without him. He was the happiest and sweetest dog ever."
Davidson, who has been open about his over the years, famously lived in his mom Amy Davidson's basement until he moved out in 2021. The actor remains quite close with her and his sister, Casey Davidson. Both attended the last week.
Davidson's post went on to detail his special bond with Henry: "He used to get excited when he saw me and would pee everywhere. When I was working at my mom would send me videos of him watching, smiling and making noise when I came on screen."
"I don't ever really watch any of my stuff with anyone as I'm far too scared but I didn't mind watching with Henry. He was truly the best," the post's caption read.
"My mom, sister and I are broken and will miss him forever," Davidson wrote. "We love you Henry. Thank you for making our lives fuller and reminding me what actually matters."
Since leaving last May after eight seasons, Davidson has focused his attention on his semi-autobiographical Peacock series, in which he plays a fictionalized version of himself.
The comedy, which debuted Thursday, "is an amiable, semi-autobiographical visit to his world," PEOPLE critic Tom Gliatto wrote in this week's issue. "s humor plays gently, even when a gag has Davidson tangled up with a prostitute and an uncle with a bad back."
The series also stars Edie Falco, Joe Pesci and Davidson's current flame, .
