The film's completion comes less than two years after Halyna Hutchins' on-set death.
In his post, Baldwin shared a photo of his co-stars, Frances Fisher and Patrick Scott McDermott, smiling after finishing up their work.
"Last day of filming RUST in Montana," Baldwin wrote. "Sorry that I did not get to work with this living legend, the great @francesfisher . Patrick, I envy you."
"It’s been a long and difficult road. But we reach the end of the trail today," he wrote. "Congratulations to Joel, [cinematographer] Bianca [Cline] and the entire cast and crew."
Baldwin ended his post by calling the wrapping of the film, "Nothing less than a miracle."
Last month, special prosecutors dismissed the involuntary manslaughter charges they'd filed against Baldwin in connection to the shooting.
"I owe everything I have to this woman," the actor wrote, before adding in parentheses, "and to you, Luke," in reference to his lawyer, Luke Nikas.
Shortly thereafter, Baldwin was back on the Montana set of the film. After finishing his shooting duties, Baldwin took to Instagram to share a photo of himself without the facial hair he'd grown out for the role.
"God, it felt good to shave off that beard," he wrote.
Watch the video below for more on the actor.