| 2026 | Thomas & Friends: The Classic Stories | Narrator |
| 2026 | The Trial of Alec Baldwin | Self |
| 2026 | Playing POTUS | Self |
| 2026 | Last Night in Sorrento | |
| 2026 | Lorne | Self |
| 2026 | Torrente for President | Donald Trump |
| 2025 | Last Take: Rust and the Story of Halyna | Self (archive footage) |
| 2025 | SNL50: The Homecoming Concert | Self |
| 2025 | Ladies & Gentlemen... 50 Years of SNL Music | Self |
| 2024 | Rust | Harland Rust |
| 2024 | Crescent City | Captain Howell |
| 2024 | Billie's Magic World | Lord Domino |
| 2024 | Atrabilious | Proctor Carlisle |
| 2024 | Clear Cut | Sam |
| 2024 | The Case Against Alec Baldwin | Self |
| 2023 | Kid Santa | Santa Claus |
| 2023 | Silent Fallout: Baby Teeth Speak | Narrator (voice) |
| 2023 | 97 Minutes | Hawkins |
| 2023 | Supercell | Zane Rogers |
| 2022 | TÁR | Alec Baldwin (voice) |
| 2021 | Alec Baldwin: Unscripted | Self |
| 2021 | Dean Martin: King of Cool | Self |
| 2021 | Precious Templeton: A Pony Tale | Ted Templeton (voice) |
| 2021 | Broadway: Beyond the Golden Age | Self |
| 2021 | The Boss Baby: Family Business | Boss Baby (Ted) (voice) |
| 2020 | My Promise to P.J. | |
| 2020 | Chick Fight | Murphy |
| 2020 | Pixie | Father Hector McGrath |
| 2020 | 30 Rock: A One-Time Special | Jack Donaghy |
| 2020 | The Story of Soaps | Self |
| 2020 | Flint | Narrator (voice) |
| 2020 | The Paley Center Salutes Law & Order: SVU | (archive footage) |
| 2019 | Arctic Dogs | PB (voice) |
| 2019 | Motherless Brooklyn | Moses Randolph |
| 2019 | On Broadway | Self |
| 2019 | Alan Pakula: Going for Truth | Self |
| 2019 | Comedy Central Roast of Alec Baldwin | Self |
| 2019 | Before You Know It | Peter |
| 2019 | Framing John DeLorean | John DeLorean |
| 2019 | It Takes a Lunatic | Self |
| 2019 | Gordon Lightfoot: If You Could Read My Mind | Self |
| 2019 | The Public | Detective Bill Ramstead |
| 2019 | What She Said: The Art of Pauline Kael | Self |
| 2019 | Drunk Parents | Frank |
| 2018 | Lady Luck: The Making of The Cooler | Self |
| 2018 | Mickey's 90th Spectacular | Self |
| 2018 | A Star Is Born | Alec Baldwin |
| 2018 | BlacKkKlansman | Dr. Kennebrew Beauregard |
| 2018 | Mission: Impossible - Fallout | Alan Hunley |
| 2018 | The King | Self |
| 2018 | Into the Amazon | Theodore Roosevelt (voice) |
| 2017 | An Imperfect Murder | Detective McCutcheon |
| 2017 | Blind | Bill Oakland |
| 2017 | Alec Baldwin: One Night Only | Self |
| 2017 | The Boss Baby and Tim's Treasure Hunt Through Time | Boss Baby (voice) |
| 2017 | Water and Sugar – Carlo Di Palma: The Colours of Life | Self |
| 2017 | The Boss Baby | Boss Baby (voice) |
| 2016 | Tony Bennett Celebrates 90 | Self |
| 2016 | Rules Don't Apply | Bob Maheu |
| 2016 | Harry Benson: Shoot First | Self |
| 2016 | Mike Nichols: An American Master | Self |
| 2016 | Flatball: A History of Ultimate | Narrator |
| 2016 | Paris Can Wait | Michael Lockwood |
| 2016 | Back in the Day | Gino Fratelli |
| 2015 | Concussion | Dr. Julian Bailes |
| 2015 | Andron | Adam |
| 2015 | DARK SIDE of the GREENS | Self |
| 2015 | Mission: Impossible - Rogue Nation | Alan Hunley |
| 2015 | Aloha | General Dixon |
| 2015 | Live from New York! | Self |
| 2015 | Robert Osborne's 20th Anniversary Tribute | Self |
| 2014 | Still Alice | John Howland |
| 2014 | Led Zeppelin Played Here | Self (archive footage) |
| 2014 | Torrente 5: Operation Eurovegas | Marshall |
| 2014 | A Dangerous Game | Self |
| 2013 | Blue Jasmine | Hal |
| 2013 | Seduced and Abandoned | Self |
| 2013 | Elaine Stritch: Shoot Me | Self |
| 2013 | Eurotrapped | Mr. Edwards |
| 2012 | Rise of the Guardians | North (voice) |
| 2012 | To Tell the Truth: A History of Documentary Film (1928-1946) | Narrator |
| 2012 | Rock of Ages | Dennis Dupree |
| 2012 | Thomas & Friends: Engine Friends | Narrator (voice) |
| 2012 | Hick | Beau |
| 2012 | The Shadow Knows | Self (archive footage) |
| 2012 | To Rome with Love | John |
| 2011 | Method to the Madness of Jerry Lewis | Self |
| 2011 | The Tragedy of Bataan | Narrator |
| 2011 | Saturday Night Live: The Best of '09/'10 | |
| 2010 | The Women of SNL | Various (archive footage) |
| 2010 | I'm Still Here | Self (archive footage) (uncredited) |
| 2010 | Thomas & Friends: The Greatest Stories | Narrator (voice) |
| 2010 | Billy Joel - The Last Play at Shea | Narrator (voice) |
| 2010 | Saturday Night Live in the 2000s: Time and Again | Self |
| 2009 | It's Complicated | Jake Adler |
| 2009 | SNL Presents: A Very Gilly Christmas | (archive footage) |
| 2009 | Paul McCartney: Good Evening New York City | Narrator |
| 2009 | Square Roots: The Story of SpongeBob SquarePants | Self |
| 2009 | My Sister's Keeper | Campbell Alexander |
| 2009 | Saturday Night Live: The Best of Amy Poehler | Husband (archive footage) |
| 2008 | National Geographic: Journey to the Edge of the Universe | Narrator (voice) |
| 2008 | Madagascar: Escape 2 Africa | Makunga (voice) |
| 2008 | Public Enemies: The Golden Age of the Gangster Film | Narrator (voice) |
| 2008 | My Best Friend's Girl | Professor Turner |
| 2008 | Lymelife | Mickey Bartlett |
| 2008 | The Masterpiece That Almost Wasn't | Self |
| 2008 | Thomas & Friends: Mud Glorious Mud | Narrator (voice) |
| 2008 | Role Model: Gene Wilder | Self - Host |
| 2008 | A President to Remember: In the Company of John F. Kennedy | Narrator (voice) |
| 2008 | Stanley Kramer: A Man's Search for Truth | Self |
| 2008 | Six Degrees Could Change The World | Narrator |
| 2007 | Thomas & Friends: Ultimate Christmas | Narrator (voice) |
| 2007 | Shortcut to Happiness | Bez Stone |
| 2007 | Saturday Night Live in the '90s: Pop Culture Nation | Self |
| 2007 | Brooklyn Rules | Caesar |
| 2007 | Suburban Girl | Archie |
| 2007 | America's Game: 1990 New York Giants | Narrator |
| 2007 | Crossing Criminal Cultures | Self |
| 2007 | America's Game: 1972 Miami Dolphins | Self - Narrator |
| 2007 | On Board the Ship of Fools | |
| 2007 | Wind | Narrator |
| 2006 | The Good Shepherd | Sam Murach |
| 2006 | Paul McCartney: The Space Within Us | Self |
| 2006 | Running with Scissors | Norman Burroughs |
| 2006 | The Departed | Ellerby |
| 2006 | Thomas & Friends: Thomas' Halloween Adventures | Narrator (voice) |
| 2006 | Mini's First Time | Martin Tennan |
| 2006 | South Pacific: In Concert from Carnegie Hall | Bloody Mary |
| 2006 | Saturday Night Live: The Best of Alec Baldwin | Self / Various |
| 2005 | Fun with Dick and Jane | Jack McCallister |
| 2005 | Elizabethtown | Phil DeVoss |
| 2005 | I'm King Kong!: The Exploits of Merian C. Cooper | Narrator |
| 2005 | Steve McQueen: The Essence of Cool | Self |
| 2005 | Thomas & Friends: Quarry Adventures on Sodor | Narrator |
| 2004 | The Aviator | Juan Trippe |
| 2004 | The SpongeBob SquarePants Movie | Dennis (voice) |
| 2004 | The Last Shot | Joe Devine |
| 2004 | Thomas & Friends: Thomas and the Jet Engine and Other Adventures | Narrator (voice) |
| 2004 | Along Came Polly | Stan Indursky |
| 2004 | The Fairly OddParents: Channel Chasers | Adult Timmy Turner (voice) |
| 2003 | The Cooler | Shelly Kaplow |
| 2003 | The Cat in the Hat | Larry Quinn |
| 2003 | Path to War | Robert McNamara |
| 2003 | Saturday Night Live: The Best of Chris Farley | Quiz Kings Contestant (archive footage) (uncredited) |
| 2003 | Thomas & Friends: Thomas' Snowy Surprise and Other Adventures | Narrator (voice) |
| 2003 | Thomas & Friends: Best of Gordon | Narrator (voice) |
| 2003 | Thomas & Friends: James and the Red Balloon and Other Thomas Adventures | Narrator (voice) |
| 2003 | Second Nature | Paul Kane |
| 2003 | Beneath the Surface: The Making of 'The Hunt for Red October' | Self |
| 2003 | Broadway: The Golden Age, by the Legends Who Were There | Self |
| 2003 | Thomas & Friends: Percy's Chocolate Crunch and Other Thomas Adventures | Narrator (voice) |
| 2002 | Saturday Night Live: The Best of Will Ferrell | Charles Nelson Reilly (archive footage) |
| 2002 | Thomas & Friends: Salty's Secret and Other Thomas Adventures | Narrator (voice) |
| 2002 | The Adventures of Pluto Nash | M.Z.M |
| 2002 | The Hamptons | Self |
| 2002 | Meet Your Meat | Narrator |
| 2001 | Final Fantasy: The Spirits Within - Aki's Dream Reconstruction | Grey |
| 2001 | The Royal Tenenbaums | Narrator (voice) |
| 2001 | Breaking the Silence: The Making of Hannibal | Self |
| 2001 | Cats & Dogs | Butch (voice) |
| 2001 | Final Fantasy: The Spirits Within | Cap. Gray Edwards (voice) |
| 2001 | Pearl Harbor | Doolittle |
| 2001 | Thomas & Friends: Thomas' Trackside Tunes and Other Thomas Adventures | Narrator (voice) |
| 2000 | Mailer on Mailer | |
| 2000 | Thomas & Friends: Thomas' Christmas Wonderland and Other Thomas Adventures | Narrator (voice) |
| 2000 | State and Main | Bob Berrenger |
| 2000 | Thomas & Friends: Make Someone Happy and Other Thomas Adventures | Narrator (voice) |
| 2000 | Thomas and the Magic Railroad | Mr. Conductor |
| 2000 | The Acting Class | Self |
| 2000 | Thomas & Friends: Spills & Chills | Narrator (voice) |
| 2000 | Spills and Chills & Other Thomas Thrills | Narrator (voice) |
| 1999 | Saturday Night Live: Christmas | Pete Schweddy (archive footage) |
| 1999 | SNL: The Best of Adam Sandler | Todd (archive footage) (uncredited) |
| 1999 | Saturday Night Live: 25th Anniversary Special | Self |
| 1999 | Outside Providence | Old Man Dunphy |
| 1999 | Thomas & Friends: Races, Rescues & Runaways | Narrator (voice) |
| 1999 | Thomas & Friends: Races, Rescues and Runaways and Other Thomas Adventures | Narrator (voice) |
| 1999 | Notting Hill | Jeff King (uncredited) |
| 1999 | Thick as Thieves | Mackin |
| 1999 | The Confession | Roy Bleakie |
| 1999 | Thomas & Friends: Cranky Bugs and Other Thomas Stories | Narrator (voice) |
| 1998 | Intimate Portrait: Sean Connery | Self |
| 1998 | Mercury Rising | Nicholas Kudrow |
| 1998 | Saturday Night Live: The Best of Phil Hartman | Mr. Cherrywood |
| 1998 | Saturday Night Live: A Tribute to Chris Farley | Self |
| 1997 | The Edge | Robert Green |
| 1997 | Happy Birthday Elizabeth: A Celebration of Life | Self |
| 1996 | Ghosts of Mississippi | Bobby DeLaughter |
| 1996 | Looking for Richard | Self / Duke of Clarence |
| 1996 | Heaven's Prisoners | Dave Robicheaux |
| 1996 | Blacklist: Hollywood on Trial | Narrator |
| 1996 | The Juror | Teacher |
| 1995 | A Streetcar Named Desire | Stanley Kowalski |
| 1995 | Two Bits | Narrator (voice) (uncredited) |
| 1995 | Wild Bill: Hollywood Maverick | Self / Narrator |
| 1994 | The Shadow | Lamont Cranston / The Shadow |
| 1994 | Masters of Illusion: The Wizards of Special Effects | Self |
| 1994 | The Getaway | Carter Doc McCoy |
| 1993 | Malice | Dr. Jed Hill |
| 1992 | Earth and the American Dream | Reader (voice) |
| 1992 | Glengarry Glen Ross | Blake |
| 1992 | Prelude to a Kiss | Peter Hoskins |
| 1991 | The Marrying Man | Charley Pearl |
| 1990 | Alice | Ed |
| 1990 | Miami Blues | Frederick J. Frenger Jr. |
| 1990 | The Hunt for Red October | Dr. Jack Ryan |
| 1989 | Great Balls of Fire! | Jimmy Swaggart |
| 1988 | Talk Radio | Dan |
| 1988 | Working Girl | Mick Dugan |
| 1988 | Married to the Mob | 'Cucumber' Frank de Marco |
| 1988 | Beetlejuice | Adam |
| 1988 | She's Having a Baby | Davis McDonald |
| 1987 | The Alamo: Thirteen Days to Glory | Colonel William Barrett Travis |
| 1986 | Forever, Lulu | Buck |
| 1985 | Love on the Run | Sean Carpenter |
| 1984 | Sweet Revenge | Maj. Alex Breen |
| 1984 | The Sheriff and the Astronaut | Sheriff Ed Cassaday |
