After trying to avoid the subject, he finally got to the allegations against him, and O'Reilly admitted he has also been in the news as "women have come forward ... and accused me of offering them exciting opportunities here at Fox News."
One brave man, President Trump himself, appeared on the show to defend him once again.
Also played by Baldwin, Trump, a man "unimpeachable on all female issues," told the host, "I actually see a lot of myself in you, Bill."
O'Reilly thanked him for coming to his defense, even though Trump admitted he was recently "too busy being super presidential, bombing a bunch of shit."
Earlier, Baldwin's O'Reilly asked for reports from the network's female employees, several of which he found out were "no longer with the company."
"Did she get the check?" he asked, referring to the $13 million that was reportedly paid to female employees for keeping quiet about their sexual harassment claims. He ended up speaking with one female anchor, Malia Zimmerman, who chose to give her report "live via satellite, 500 yards away."
She reported to O'Reilly on Susan Rice's recent accusations of misconduct. "You asked her point blank? When she said no, did her eyes say yes?" he asked Zimmerman, played in the sketch by Cecily Strong. "What was her vibe? Was it like a firm no, or was it like, 'convince me?'"
Before he went to commercial, O'Reilly made sure to thank his remaining sponsors, "dog cocaine" and "prescription-strength Eliquis," after several advertisers dropped him this week because of the allegations.
Baldwin's O'Reilly signed off by promoting his book, called Old School. "It's about having great morals and values, and it couldn't have come at a better time."