During a radio interview Thursday, President Trump belly-ached that he could not pressure the Justice Department to investigate his former political rival Hillary Clinton, because that's part of being president.

Trump was sitting down with WMAL's Larry O'Connor, who had wanted to pick the president's brain on why he couldn't fulfill his campaign promise to 'lock her up,' something he would encourage his supporters to shout about Clinton.

'But you know the saddest thing, because I'm the president of the United States I am not supposed to be involved with the Justice Department. I am not supposed to be involved with the FBI,' he explained. 'I'm not supposed to be doing the kinds of things I would love to be doing and I'm very frustrated by it.'

President Trump told WMAL's Larry O'Connor on Thursday that he was frustrated that he couldn't, as president, order the Justice Department to look into his former political rival, Hillary Clinton

Conservative radio show host Larry O'Connor (left) had pledged his listeners that he would find out why President Trump couldn't 'lock her up,' a phrase used about Hillary Clinton (right)

Trump didn't stop there.

'Why aren't they going after Hillary Clinton with her emails and with the dossier, and the kind of money?' Trump mused. 'I don't know, is it possible that they paid $12.4 million for the dossier? And how was it – which is total phony, fake – and how was it used?' he continued.

Last week, a law firm used by Clinton's campaign and the Democratic National Committee acknowledged its role in paying for a dossier filled with unsubstantiated opposition research about Trump's ties to Russia, gathered by a former British intelligence agent.

The president has used this Clinton-Russia connection to muddy the waters as three of his own associates on Monday were indicted as part of Special Counsel Robert Mueller's expansive probe into Russian meddling in the 2016 election.

O'Connor, a D.C.-based conservative radio host, told Trump that his listeners ask all the time why Clinton couldn't be more thoroughly investigated.

In July 2016, then FBI head James Comey held a press conference and said that he wouldn't recommend charges to the Justice Department over Clinton's use of a private email server while serving as secretary of state, as there were legal concerns over her handling of classified information.

The FBI briefly looked at Clinton's emails again in October, shortly before the presidential election, when more messages were found on disgraced congressman Anthony Weiner's computer, as part of another case.

The messages belonged to his wife, the top Clinton aide, Huma Abedin.

Since then there's been no indication that Clinton is under investigation, though two House committees are looking into the Uranium One deal, as Clinton as secretary of state was one of the decision-makers on a deal that gave the Russian 20 per cent of American uranium.

Republicans have pointed to a speech Bill Clinton made in Moscow, and financed by a Kremlin-linked bank while the deal was going through, as evidence of pay-to-play.

'And you know, it's very discouraging to me, I'll be honest, I'm very unhappy with it, that the Justice Department isn't going,' Trump went on.

'Now, maybe they are, but as president, and I think you understand this, as a president you are not supposed to be involved in that process,' he continued.

'But hopefully they are doing something and at some point maybe we're all going to have it out,' Trump said.