Nora Ephron once wrote that there were times, when interviewing people, when she wanted to say: “Me! Me! Me! Enough about you. What about me?”

For Alec Baldwin, it’s more or less the inverse. In 2011, he started a podcast with WNYC, “Here’s the Thing,” so he could interview people the way he wanted to be interviewed—“where they feel comfortable and there’s no judgment,” he says.

“And…