Fey won the prize for outstanding performance by a female actor in a comedy series, while Baldwin won the equivalent male actor award.
"I want to thank anyone in the Screen Actors Guild for considering me an actor at all," Fey, who is also a screenwriter, quipped upon accepting her award. "I want to thank everyone in SAG for being so supportive of the Writers Guild of America."
The WGA went on strike against the Alliance of Motion Picture and Television Producers Nov. 5. Since then, most scripted TV shows have been shut down.
The cast of "The Office" earned the SAG award for outstanding performance by an ensemble in a comedy series for the second year in a row.
"As an ensemble, a lot of people in this group struggled for a long time as non-working actors," said Jenna Fischer, who plays receptionist Pam on "The Office." "So, we're always grateful. We don't take it for granted. Thank you so much."