Robert O'Neill speaks out about Peter Kassig execution

This is a rush transcript from "The Kelly File," November 17, 2014. This copy may not be in its final form and may be updated.

MEGYN KELLY, HOST: New details tonight on the 26-year-old American veteran who was beheaded by ISIS terrorists. On Sunday the terror army known as ISIS released a video of a fifth brutal murder of a western hostage.

Peter Kassig's dead body is shown at the end of the 16-minute video. It's the final image in the video which also shows the terrorists beheading over a dozen other men.

Kassig was an Indiana native and an Army ranger who served in Iraq, he later returned to the Middle East to serve refugees in the crisis in Syria and converted to Islam, even changing his first name.  His parents spoke earlier today saying they would work on forgiving their son's murderers.

As the Islamic state video closes, a terrorist goads America, daring our country to send even more troops in Iraq. The same man then says that soon, quote, "We will be slaughtering your people on your streets."

Joining me now, a man who's fought his share of terrorists, retired Navy SEAL Robert O'Neill, the man who shot Usama bin Laden as featured in the Fox News Channel's most watch ever documentary last week.

Rob, good to see you here.

ROBERT O'NEILL, FORMER NAVY SEAL: Thanks for having me.

KELLY: And this is exactly why you went over there and did 400 combat missions to try to fight these guys inspired to take out terrorists like this. Your thought on whether we've made real progress and how much progress we've made against them.

O'NEILL: We've made progress. We've made good progress in both theaters over there. It's something -- it looks like we're going to have to do again. They kind of waited for us to leave. These ISIS guys are the same guys we were fighting -- we gave the name Al Qaeda in Iraq. It was ran by Abu Musab al Zarqawi and he ran until the United States had killed him, another guy took over, Mazr (ph), we killed him.

And it's the same group of guys, but once they knew we were going to leave, they got to back off and waited, they knew that they could rise up and start fighting their other enemies, the Shiite.

KELLY: Do you think that we could take them out? I mean, if we really wanted to take them out, actually destroy them as President Obama has said we want to do, could we do it?

O'NEILL: We could do it in a heartbeat. We've fought them before. They're afraid to fight us.  They've seen what we can do face-to-face. They just know right now that we're unsure of the American people's will to go back and fight them. If we win in there, they would do the exact same thing they always do, they'd hide behind the families, they'd try to melt back into the local populous.

KELLY: Right. When they say that they're going to come to America and start, you know, beheading or slaughtering people on the streets here, people worry. People get scared because they don't want to have to live like that.

O'NEILL: Right.

KELLY: You're somebody who has publicly outed himself as the man who killed Usama bin Laden. A lot of people said, aren't you worried? Are you worried for yourself? Are you worried for your family? Speak to your own concerns and speak to the American people who hear these threats and think, wow, how concerned do I need to be?

O'NEILL: Well, the concern right now is the lone wolf. You know, the people that kind of go crazy. And they go out and they, you know, they attack people with hatchets and knives. Those are pretty much crazy people. You can't really help that. And that's something, you know, that I consider now I've taken -- I take my security seriously. And I'm ready -- I'm prepared for it.

As far as ISIS coming here in mass, they know what we can do to them. What we did to them over there and they know what would happen if they came on our home court. They don't have a chance over here.

KELLY: Now it's been a few days since the documentary aired on the Fox News Channel to record numbers. I mean, millions and millions and millions of people now know who you are. Has life changed already?

O'NEILL:  Yes.

KELLY: How so?

O'NEILL: I get recognized when I go places. I went to a football game yesterday and people just --

KELLY: What's that like after being secret for so long?

O'NEILL: Well, I had to tell them that, with the people, it was an honor, obviously for people that know me. But I had a guy ask me to sign his football and I'm like, "Dude, I'm aRedskins fan like you, let's see if one of these guys will sign for it."

KELLY: You're not just any Redskins fan, though. I mean, 400 combat mission, two silver stars, four bronze stars. Were on the obviously, the SEAL Team 6 mission to kill Usama bin Laden, it did. The SEAL Team 6 mission to rescue Captain Phillips, to help rescue fellow SEAL Marcus Luttrell, I mean, the list goes on.

O'NEILL: Right.

KELLY: You're an incredible, incredible man who's given a lot of service to this country. And that's why it's so shocking for some of us to see the blowback against you. I realize it's controversial to speak out as a Navy SEAL --


KELLY: Are you surprised that more SEALs haven't come out and said, "I disagree with you speaking out, but this is my brother. We fought and saved lives."

O'NEILL: I've had that. I have had my friends tell me that. Some of them. The ones that I've talk to even the ones that disagree, they're supportive. You know, "Maybe you did the wrong thing, but I'm going to support you."

There are going to be naysayers that don't like what I'm doing. And that's the nature of it. I know these guys and they're all alphas. I mean, they're the best people in the world as far as I'm concerned. I want to be liked by all of them.

But I understand that that's a train that's moving very, very fast and if you jump off the train, it's going to keep moving. And they're doing their job and it's not in the SEAL culture to speak out. But something of this magnitude, just the positive effect that I can have on the country on the 9/11 families, on the vets with -- I have a foundation, that helps vets transition. I just did over 16 years and there wasn't a lot for me when I got out. Now I'm trying to, you know, pay it forward.

KELLY: Say it again.

O'NEILL: And we actually just gave our first grant to a former SEAL Team 6 colleague who was part of the high profile mission. He got the grant that the foundation gave him and he sent me a text saying, "My wife is sitting next to me crying because our credit cards were maxed out and now we can buy Christmas presents."

KELLY: Listen, I know it's not about accolades for you or for the rest of the SEALs, but in telling your story, I think I can speak for me personally, you made me see what the SEALs do in a light I'd never seen before. The bravery, the courage, the willingness to die for a good cause.  I was inspired by your behavior and that of your fellow SEALs and that I salute you. Thank you for being here.

O'NEILL: Thank you so much for having me, Megyn.

KELLY: Great to see you.

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