Walsh cited the First Amendment and noted that the sketch comedy show is purely satire and that it has made fun of nearly every president and major political figure since it began in 1975, not simply Trump.
Although SNL's skit was humorous and hard-hitting, Trump lashed back.
Labelling it all as "nothing less than unfair news coverage and Dem commercials", Mr Tump suggested it should "be tested in courts", as it "can't be legal?"
Last night's SNL Cold Open dreamed of a world where Donald Trump wasn't President, bringing back almost all of the stars - including Alec Baldwin as Trump, Ben Stiller as Michael Cohen. Alec Baldwin, of course, assumed his position to portray Trump.
Saturday Night Live has poked fun at every president since the show debuted in the late 1970s, but Donald Trump still doesn't care for the show.
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It comes after SNL did a take on the film "It's a Wonderful Life" which imagined a world where Trump wasn't president. Baldwin's Trump is approached by his guardian angel Clarence, played by Kenan Thompson, who shows him how his friends and family would be had he not won the 2016 election. His press secretary Sarah Sanders, played by Aidy Bryant, now did public relations for Facebook, dating site Ashley Madison and "the romaine lettuce association".
"Recently, the President tweeted a statement calling me 'weak, ' and he was correct, but for a much different reason than he was implying", Cohen said. Mike Pence would embrace his true passion for EDM music and become a DJ.
While the sketch offered many insights into the troubling workings of the President, it missed one key point.
"Alec Baldwin, whose dying mediocre career was saved by his awful impersonation of me on SNL, now says playing me was agony", the president wrote in March.