The comedy travel show returns to Sky1 for a third and final series on Friday, November 30 at 9pm.
Pilkington told DS that he had "definitely" bonded with Davis on their shared 5,000-mile journey from Venice to Eastern Europe, India and China.
"I think it's like sharing a trauma - you become closer," agreed Davis. "You've managed to get through something."
However, Pilkington also admitted that he became annoyed with the Life's Too Short star's optimistic outlook as the trip continued, claiming that it only inflated his own foul mood.
"Knock about with depressed people, because you'll always feel better off," the Mancunian star advised.
> An Idiot Abroad returns - watch exclusive trailer
> Ricky Gervais announces end of An Idiot Abroad, Ricky Gervais Show
Photo gallery - Karl Pilkington, Warwick Davis and Ricky Gervais star in 'An Idiot Abroad':