| Providence | 2004 | Joe Diamond | |||
| Broadway: The Golden Age, by the Legends Who Were There | 2003 | Himself | |||
| Untitled John Hamburg Project | 2003 | ||||
| Cat in the Hat | 2003 | Lawrence Quinn | |||
| Cooler | 2003 | Shelly Kaplow | |||
| Second Nature | 2002 | Paul Kane | |||
| 54th Annual Primetime Emmy Awards | 2002 | Himself | |||
| Adventures of Pluto Nash | 2002 | M.Z.M | |||
| "Hamptons, The" | 2002 | Himself | |||
| Path to War | 2002 | Robert McNamara, Secretary of Defense | |||
| Aki's Dream | 2001 | Captain Gray Edwards, Deep Eyes Squadron | |||
| Devil and Daniel Webster | 2001 | Jabez Stone | |||
| Into the Shadows: The CIA in Hollywood | 2001 | Narrator | |||
| Royal Tenenbaums | 2001 | Narrator | |||
| Big Show | 2001 | Himself | |||
| Final Fantasy: The Spirits Within | 2001 | Capt. Gray Edwards | |||
| Cats & Dogs | 2001 | Butch, the Chief Agency Dog | |||
| Pearl Harbor | 2001 | Lt. Col. James 'Jimmy' Doolittle | |||
| Speak Truth to Power | 2000 | The Man | |||
| State and Main | 2000 | Bob Barrenger | |||
| "Nuremberg" | 2000 | Justice Robert H. Jackson | |||
| Thomas and the Magic Railroad | 2000 | Mr. Conductor | |||
| "Clerks" | 2000 | Leonardo Leonardo | |||
| Acting Class | 2000 | Himself | |||
| AFI's 100 Years... 100 Stars | 1999 | Himself | |||
| Saturday Night Live: 25th Anniversary | 1999 | Himself | |||
| Saturday Night Live Christmas | 1999 | Pete Schweaty | |||
| Saturday Night Live: The Best of Adam Sandler | 1999 | Scout Master | |||
| Outside Providence | 1999 | Old Man Dunphy | |||
| Scout's Honor | 1999 | Todd Fitter | |||
| Notting Hill | 1999 | Jeff King | |||
| Thick as Thieves | 1999 | Mackin | |||
| Confession | 1999 | Roy Bleakie | |||
| "Thomas the Tank Engine & Friends" | 1984 | Narrator | 1998- | ||
| Saturday Night Live: The Best of Chris Farley | 1998 | Japanese Gameshow Contestant | |||
| Saturday Night Live: The Best of Mike Myers | 1998 | Man in Bed/Game Show Contestant | |||
| Saturday Night Live: The Best of Phil Hartman | 1998 | Himself | |||
| Kennedy Center Honors: A Celebration of the Performing Arts | 1998 | Himself | |||
| Mercury Rising | 1998 | Lt. Col. Nicholas Kudrow, NSA | |||
| Sean Connery, an Intimate Portrait | 1997 | Himself | |||
| Sean Connery Close Up | 1997 | Himself | |||
| Edge | 1997 | Robert Green | |||
| Wild Bill: Hollywood Maverick | 1996 | Himself/Narrator | |||
| Ghosts of Mississippi | 1996 | Bobby DeLaughter | |||
| Looking for Richard | 1996 | Clarence/Himself | |||
| Heaven's Prisoners | 1996 | Dave Robicheaux | |||
| Juror | 1996 | Teacher | |||
| Two Bits | 1995 | Narrator | |||
| Streetcar Named Desire, A | 1995 | Stanley Kowalski | |||
| Shadow | 1994 | Lamont Cranston/The Shadow | |||
| Masters of Illusion: The Wizards of Special Effects | 1994 | Himself | |||
| Getaway | 1994 | Carter 'Doc' McCoy | |||
| Malice | 1993 | Dr. Jed Hill | |||
| Glengarry Glen Ross | 1992 | Blake | |||
| Prelude to a Kiss | 1992 | Peter Hoskins | |||
| Marrying Man | 1991 | Charley Pearl | |||
| 63rd Annual Academy Awards | 1991 | Himself | |||
| Alice | 1990 | Ed | |||
| Miami Blues | 1990 | Frederick J. Frenger Jr. | |||
| Hunt for Red October | 1990 | Jack Ryan | |||
| Tong Tana - En resa till Borneos inre | 1989 | Narrator | English version | ||
| Great Balls of Fire! | 1989 | Jimmy Swaggart | |||
| Talk Radio | 1988 | Dan, Station Manager KGAB Radio | |||
| Working Girl | 1988 | Mick Dugan | |||
| Married to the Mob | 1988 | 'Cucumber' Frank de Marco | |||
| Beetlejuice | 1988 | Adam | |||
| She's Having a Baby | 1988 | Davis McDonald | |||
| Forever, Lulu | 1987 | Buck | |||
| Alamo: Thirteen Days to Glory | 1987 | Col. William Barrett Travis | |||
| Dress Gray | 1986 | Rysam 'Ry' Slaight | |||
| Love on the Run | 1985 | Sean Carpenter | |||
| "Knots Landing" | 1979 | Joshua Rush | 1984-1985 | ||
| Sweet Revenge | 1984 | Maj. Alex Breen | |||
| "Cutter to Houston" | 1983 | Dr. Hal Wexler | |||
| "Doctors, The" | 1963 | Billy Allison Aldrich | 1980-1982 |
Birth name: Alexander Rae Baldwin III
Gender: Male
Spouse: Kim Basinger
Profession: Actor
Marital status: Married