MSNBC president Phil Griffin made the announcement on Thursday.
"I've been talking with Alec for a while and can't wait to bring his personality and eclectic interests to MSNBC," said Griffin. "He's got such passion for ideas and what's going on in the world -- he's going to be a great addition to our line-up."
The show's format will follow Baldwin's current WNYW podcast, "Here's the Thing," where he's interviewed celebrities including Chris Rock, Lena Dunham and Jill Abramson.
"Up Late with Alec Baldwin" will air Friday nights at 7 p.m.