Baldwin earned the SAG Award for Best Actor in a Comedy for his work in the NBC sitcom "30 Rock."
"Oh, my God. This is ridiculous," Baldwin said as he collected his eighth career SAG Award.
"It was the greatest experience I ever had," he said of his seven seasons on "30 Rock."
Moments later, his co-star Fey scooped up the matching Best Actress in a Comedy statuette.
"That's so nice. Thank you for letting me in this union," said Fey, who is also a writer and producer.
She then urged everyone to watch the series finale of "30 Rock" Thursday.
"Tape 'The Big Bang Theory.' For once, for crying out loud," she said, joking about her show's rival on CBS, which frequently beats "30 Rock" in the ratings.
"This is a huge honor; we love being actors," said "Modern Family" actor Jesse Tyler Ferguson, who spoke on behalf of his co-stars after their ABC series won its third consecutive win for Best Ensemble in a Comedy.
Ferguson saluted the casts of "30 Rock" and "The Office," which are both wrapping up their runs this season.
"You all have set the comedy bar so high, if we could just be half as brilliant and smart and wonderful as you are, then we've succeeded. We're all big fans of yours," Ferguson said, prompting actors from those show to call the "Modern Family" casting director for jobs should they need them.