"She was my friend," Baldwin told photographers on a roadside in Vermont on Saturday.
"We were a very, very well-oiled crew shooting a film together and then this horrible event happened."
Investigators believe Baldwin's gun fired a single live round that killed cinematographer Halyna Hutchins and wounded director Joel Souza.
Baldwin was joined by his wife, Hilaria, when he spoke to photographers and she filmed the exchange with her phone, often trying to get her husband to stop talking.
Baldwin said he was speaking out so the photographers would stop following his family.
Baldwin called the shooting incident a "one-in-a-trillion event" and said he had met Hutchins' husband.
"He is in shock, he has a nine-year-old son. We are in constant contact with him because we are very worried about his family and his kid. As I said, we are eagerly awaiting for the sheriff's department to tell us what their investigation has yielded."
Investigators in New Mexico where the shooting occurred have said that there was "some complacency" in how weapons were handled on set, but it is too soon to determine whether charges will be filed.
Santa Fe County Sheriff Adan Mendoza has said 500 rounds of ammunition - a mix of blanks, dummy rounds and suspected live rounds - were found while searching the set of the western Rust.
Detectives have recovered a lead projectile they believe the actor fired. Testing is being done to confirm whether the projectile taken from Souza's shoulder was fired from the same long Colt revolver used by Baldwin.
The FBI will help with ballistics analysis.
Souza, who was standing behind Hutchins, told investigators there should never be live rounds present near the scene.
AAP with The Project