"Steve, we love you", Baldwin's Trump said.
Describing himself as the "tragic victim" of the events in Charlottesville, the faux president complained that the media was treating him unfairly "by reporting my entire remarks - even the bad ones".
"I asked the hard questions like, 'Which one is Afghanistan?'" he said. Trump said onstage during the mock rally, wearing sunglasses. "They couldn't have. I figured it out myself".
"People ask me why are you doing a rally only 8 months in?" "Steve you look great", says the commander in chief impersonator.
Suspected terrorist plot prompts cancellation of Netherlands concert
But there already were strong doubts on Thursday that he was in fact linked to the threat. The American rock band Allah-Las was scheduled to perform, the band's website said.
After praising the mostly white crowd as "fantastic", Trump attempted to "set the record straight" by clarifying his widely criticized response to the deadly protests in Charlottesville, Virginia.
"If I have to shut down the government to get it built, I will", he said.
The sketch closes out with Baldwin's Trump inviting Steve Bannon, satirized as the Grime Reaper, on stage to stand beside him. "Through the eclipse I cant tell-are you really black?" "He'll be fighting the good fight against globalist cucks like my son-in-law, Jared [Kushner]".
Thursday marked Baldwin's first time back in character for "SNL" since he receiving an Emmy nomination for outstanding supporting actor in a comedy series for the role despite not actually being a cast member.
Also Thursday, SNL announced that Ryan Gosling would be hosting the new season's premiere on September 30 with musical guest Jay-Z.