The victim's been named as 42-year-old Halyna Hutchins - the director of cinematography.
Hutchins was transported via helicopter to University of New Mexico Hospital, but was later pronounced dead.
A man was also injured in the accidental shooting, Joel Souza, the film's director.
He was taken by ambulance to Christus St. Vincent Regional Medical Center, but has since been discharged.
Police are investigating the incident in New Mexico - no one has yet been charged.
Mr Baldwin has been questioned by police and spokesman for the Sheriff said that he willingly provided a statement.
US correspondent with the Daily Mail, Harriet Alexander, says incidents like this are unusual:
"It's not unheard of for this to happen if we, if you recall very famously happened at back in 1993 When Bruce Lee's son Brandon Lee. He was shot and killed during a scene in a film when, when, when there was a real weapon used instead of it should have been a fake one for the film."