Baldwin posted this selfie on Instagram on Saturday afternoon, having provoked — and responded to — a number of tweets from the president-elect over his regular portrayals of the soon-to-be commander in chief on SNL over the last few months.
The Russian words on the hat are not a perfect translation of Trump's slogan, however: it uses the wrong word forms, and translates more accurately to English as "Do Americas Great Again".
The hat is almost certainly a reference to the US intelligence report which was declassified this week, which said Russia tried to influence November's election in order to help Trump.
It remains to be seen if Baldwin will reprise his role as Trump when SNL returns from its break on Jan. 14.
Victor Stepanov contributed reporting to this article.