Montana Republican Senate candidate Tim Sheehy struggled to provide a clear explanation in a new interview about the circumstances of a 2015 incident at a national park that led to his treatment for a gunshot wound and the imposition of a fine.

In the interview with radio host and former Fox News host Megyn Kelly posted online Thursday, Sheehy left Kelly confused and warned him that Montana voters were unaware of what happened. “I just want to give you the opportunity to explain yourself because this is your final message. It's about this incident – voters are confused. … It’s so confusing,” she told him.

The controversy looms over a pivotal Senate race in Montana that both parties see as crucial to capturing the majority in the final days of a closely contested election.

The questions stem from different reports Sheehy gave about a bullet in his right arm.

All reports agree that, as first reported by The Washington Post this spring, Sheehy went to the hospital after his gun exploded in Glacier National Park in 2015 (firing a gun is illegal in a national park).

Sheehy was approached that day by a park ranger who was responding to a call about a self-inflicted gunshot wound, the ranger wrote in a citation at the time and has since said it publicly. The ranger said Sheehy told him he accidentally shot himself in the arm, and Sheehy then went to the hospital for treatment.

Sheehy now says he was never hit by gunfire that day in 2015. Instead, he said, he was injured in a fall on the hike and sought treatment because he took a bullet in the arm while serving in Afghanistan as a Navy SEAL, a story he told on the campaign trail.

Sheehy said he sought treatment the day of the Glacier National Park hike because he feared the bullet still lodged in his arm had been dislodged. Crucially, he said he did not report being injured during combat either while on duty or after his Glacier injury because it was a friendly fire incident and he did not want his unit to have one would have to undergo a lengthy examination to determine whether the injury was minor, a claim he repeated in the interview with Kelly.

He was handed a $525 ticket for the Glacier National Park shooting, which he paid, he told the Post in April, to avoid an investigation by his unit.

Kelly pressed Sheehy this week for medical records that could corroborate his account of what happened; Sheehy responded that these records do not exist.

“There’s no such thing as — I mean, that’s the point,” Sheehy said. “You go and look, and then you leave. There's no detailed medical record for any of these things.”

Kelly replied, “It’s so confusing.”

Kelly asked Sheehy immediately after the injury in the park: “To be clear, did you shoot yourself in the arm?”

“No, that was never the allegation – the point is that it was a friendly fire ricochet from a distance that was not reported at the time,” Sheehy said.

Democrats fighting to help Sen. Jon Tester, D-Mont., win a fourth term against long odds in deep-red Montana have accused Sheehy of being dishonest in both incidents and called on him to release medical and military records to support his to confirm history. They also said he must have lied about his injury, either to his military command while on duty or to park rangers and local law enforcement after the Glacier National Park incident.

Speaking to Kelly, one of the few media interviews Sheehy has given as a candidate, Kelly asked the candidate if he had been injured at all during his hike in the park.

“Yes, I fell while hiking and hurt my arm,” he said. “So that's why I went, because when I fell, when I fell on my arm, I felt the ball come off, you could feel the ball come off. And then I went to the emergency room and said, “Hey, look, you know, I'm bleeding internally here.” I hurt my arm. Can you look at this? Make sure nothing serious happens here.”

A Sheehy spokesman called the questions about the gunshot wound an “attempt to destroy the record of a combat veteran.”

“The bullet in Tim’s arm was the result of his service in Afghanistan,” Sheehy’s spokesman said. “Tim never reported it because he didn’t want his team to be investigated, pulled off the battlefield and didn’t want to see fellow players punished. It was always about protecting a team member in his unit who he believed might be responsible for the ricochet of friendly fire in the heat of an engagement with the enemy.”

Republicans see the Sheehy race as one of the biggest catch-up opportunities in a cycle in which the map of up-for-election Senate seats favors their party. The Republican challenger is ahead of Tester in most public polls, although Democrats insist the race is not over. Former President Donald Trump is expected to easily win the state.

During the interview with Kelly, Sheehy described the complexities of fighting in Afghanistan with “Afghan forces embedded within us.”

“We call these green-on-blue incidents that were actually very, very common, where you had Afghans either intentionally or unintentionally shooting friendly forces,” he said.

Sheehy had originally said the friendly fire incident came from a fellow SEAL, and wrote in his 2023 book “Mudslingers” that he did not report the shooting in Afghanistan “because I didn't want to be sent home and my I didn't want the teammate who fired that shot, an absolute idiot who had a successful career as a SEAL, to be punished – officially or reputationally – by an accident that was in no way his fault was.”

In the same book, he wrote that he was medically discharged from military service, but as NBC News reported last month, discharge records indicate he resigned voluntarily and do not list a medical reason that forced him out has.