Halyna Hutchins died last week on the set of western movie Rust, when the 63-year-old star accidentally shother with a gun that was not meant to be loaded.
Baldwin and the Hutchins family were pictured in Santa Fe, near where the tragedy happened.
Baldwin himself earlier took to social media to describe his heartbreak.
"There are no words to convey my shock and sadness regarding the tragic accident that took the life of Halyna Hutchins, a wife, mother and deeply admired colleague of ours. I'm fully cooperating with the police investigation," Baldwin wrote on Twitter. "My heart is broken for her husband, their son, and all who knew and loved Halyna."
The cinematographer's father, Anatoly, says her family is heartbroken and struggling to cope.
"We still can't believe Halyna is dead and her mother is going out of her mind with grief," he told The Sun.
"But I don't hold Alec Baldwin responsible – it is the responsibility of the props people who handle the guns."
Anatoly is now fighting for his wife Olga and daughter Svetlana to fly to the US to comfort Matt and Andros.
