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We report about the properties of the underlying event measured with ALICE at the LHC in pp and p−Pb collisions at sNN−−−√=5.02 TeV. The event activity, quantified by charged-particle number and summed-pT densities, is measured as a function of the leading-particle transverse momentum (ptrigT). These quantities are studied in three azimuthal-angle regions relative to the leading particle in the event: toward, away, and transverse. Results are presented for three different pT thresholds (0.15, 0.5, and 1 GeV/c) at mid-pseudorapidity (|η|<0.8). The event activity in the transverse region, which is the most sensitive to the underlying event, exhibits similar behaviour in both pp and p−Pb collisions, namely, a steep increase with ptrigT for low ptrigT, followed by a saturation at ptrigT≈5 GeV/c. The results from pp collisions are compared with existing measurements at other centre-of-mass energies. The quantities in the toward and away regions are also analyzed after the subtraction of the contribution measured in the transverse region. The remaining jet-like particle densities are consistent in pp and p−Pb collisions for ptrigT>10 GeV/c, whereas for lower ptrigT values the event activity is slightly higher in p−Pb than in pp collisions. The measurements are compared with predictions from the PYTHIA 8 and EPOS LHC Monte Carlo event generators.