The actor revisited his Saturday Night Live impersonation of the president-elect during the anti-Trump rally, which was also attended by Robert De Niro, Cher and Michael Moore.
People gathered outside the Trump International Hotel for the We Stand United protest, and were later treated to a parody of the Republican, 70.
"These people are a disgrace, but there is hope," the 58-year-old told the crowd. "Trump and Pence think you're going to lay down.
"That's one thing about New Yorkers: You don't lay down," Baldwin continued.
Trump inauguration: Alec Baldwin poked fun at the Republican at the We Stand United rally
Trump inauguration: Alec Baldwin with Michael Moore at the protest
Celebrities slamming Donald Trump
Fri, January 20, 2017
From Meryl Streep to George Clooney, here's what the celebrities have to say about President-elect Donald Trump.
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Robert De Niro, Cher and Alec Baldwin slam Donald Trump at the We Stand United NYC Rally
These people are a disgrace, but there is hope!
The 30 Rock star then began to poke fun at Trump, as he declared: "I just want to say, I've been standing out here in the freezing cold for a long time. I have to go to the bathroom – I have to pee.
"But I'm holding it in, holding it in. I'm not going to pee. I'm going to a function at the Russian consulate tonight; I'm going to hold it in until I get there."
Baldwin added: "And then when I get to the Russian consulate, I'm going to have a really, really long pee. Like the biggest pee I've ever had in my lifetime."
Trump inauguration: Alec Baldwin with his wife in Washington last night
Trump inauguration: The Stand United rally attracted thousands in NYC
He also labelled Trump's team a "disgrace" and called on parents to tell their children what actually makes an American "great".
Moore later stated: "As bad as we think it's going to be, it's going to be worse. However the good news is there's more of us than there are of them."
Donald Trump’s inauguration will be broadcast at 5pm today.