"I actually see a lot of myself in you, Bill", Baldwin's Trump said, adding that he was also "busy being super presidential, bombing a bunch of s--".
Bloom and Walsh called into 21st Century Fox's corporate hotline last week to formally issue the complaint with the company.
Chief Trump impersonator Alec Baldwin had multiple hats (or wigs) to wear during Saturday's episode of Saturday Night Live - playing both the president and Fox News host Bill O'Reilly during the same skit.
The New York Times "Mediator" column Sunday noted "O'Reilly first rose at Fox by riding hard against the ethical lapses of former President Bill Clinton, who, he said at the time, couldn't 'adhere to a decent standard of behavior'".
We reached out to Fox News for comment.
The conversation becomes more direct as O'Reilly addresses the allegations against him.
"I think he's a person I know well - he is a good person", Trump said of O'Reilly in the Times interview.
Overall for the week of April. 3-7, Fox News placed five programs in the basic cable Top-10 ratings rankings for total viewers, with "The O'Reilly Factor", "Hannity", "Tucker Carlson Tonight", "The Five", and "Special Report with Bret Baier" making the cut.
When forced, Fox News investigated allegations of sexual harassment against its chairman and CEO Roger Ailes, ultimately parting ways with the man who created the network two decades earlier.
Ads for The O'Reilly Factor installed in the windows of the News Corporation building in NY.
Advertisers, meanwhile, have fled O'Reilly's show since the Times report was published. "At the end of the dinner he said, 'Let's get out of here, ' and I thought he meant let's go to the bar and continue talking about my career and to get more career advice".
Walsh was a regular guest on The O'Reilly Factor and was reportedly offered a paid contributor position at the network.
More than a dozen women came forward afterward to detail their own unwanted sexual encounters with the business mogul.
The accusations against O'Reilly prompted major advertisers to abandon his nightly television program, The O'Reilly Factor.