Megyn Kelly presses Sheehy on bullet wound story: "So confusing"

• Sheehy, a former Navy SEAL, claims he was shot while deployed in Afghanistan. But a national park ranger in Montana says that Sheehy actually shot himself at a park in the state in 2015.

What they're saying: Megyn Kelly asked in an interview with Sheehy released Friday if there were medical records to prove that he was not treated for a fresh gunshot wound at the emergency room. Sheehy said: "There isn't."

• "There's not an extensive medical record for any of this stuff," Sheehy said.
• Kelly later told Sheehy that the story was "so confusing."
• Sheehy argued that Democrats are simply trying to smear his military record.

Catch up quick: Sen. Jon Tester's (D-Mont.) campaign and national Democratic groups are blanketing the state in ads about the story.

• Sheehy maintained to Kelly that he was shot, possibly by friendly fire, while in Afghanistan, and that he didn't report it at the time to avoid an investigation into his unit.
• He said he lied to the park ranger in 2015 after he fell and hurt his arm at the park, dislodging the bullet from overseas. He told the ranger he accidentally shot himself.

Go deeper: Democrats haven't given up on long-shot Montana Senate race