"I wanted to take a moment to say thank you to all of the people who sent me such kind words and best wishes, and strength, and hope, and prayers, and so forth, and thoughts and lots of encouragement," the actor said in the clip, which he posted on Instagram on Thursday.

He went on to say he had received hundreds of messages from friends, family members, and colleagues, as well as people "I hadn't heard from in a while," for which he was truly grateful.

The 67-year-old appeared shaken in the video and visibly upset.

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During filming for his western Rust on October 21, cinematographer Halyna Hutchins (42) was fatally injured and director Joel Souza (48) was hit in the shoulder on the Santa Fe Movie set.

Lead actor Baldwin, who was also involved in the film as a producer, was holding the gun which went off in the accident. The investigation is still ongoing, but Baldwin has now denied pulling the trigger as claims of possible sabotage on set have swirled.

"I'm looking forward to some aspects of this being behind me," Baldwin said in the video, adding that it will never be completely over "because someone died so tragically."

"I never lose sight about that, there's not a day that goes by that I don't think about that," he added.

Baldwin himself is now under investigation, being named in several lawsuits and having his cell phone searched by authorities.

The Hollywood star concluded by wishing fans a happy holiday during what he called a "difficult time," saying he will spend Christmas at home with his family, who is his "whole life."

"All I care about is my wife and my kids and just moving forward with my life and trying to get through a tough time, a really tough time," he said.