When Jim Steinle went out for a walk with his daughter Kate Steinle on a San Francisco pier two weeks ago, he didn't expect to watch her die in his arms. But, that's exactly what happened when illegal alien Francisco Sanchez shot and killed her after racking up five deportations and a seven-felony record.

Last night on The O'Reilly Factor both of Kate's parents, Jim Steinle and Liz Sullivan, spoke out exclusively for the first time about her preventable death.

"She was not only beautiful but a very soulful person. A lot of depth, a lot of spirituality always from a young age. And I think that's what is helping to give us the strength that we've conjured up here in this terrible, terrible situation. I feel her strength still with me," Sullivan said about her daughter.

When asked what Kate's words were when she realized she had been shot, her father gave a gut wrenching response.

"Help me, dad," Steinle described. "We heard a pop shortly and after that Kate went down. And then we had some kind souls come over you know, gave her mouth- to-mouth and did all I could. Some other kind souls come over and helped us until the paramedics got there."

Host Bill O'Reilly has been calling on Congress to pass and introduce "Kate's Law," which would punish deported illegal aliens who reenter the United States with a mandatory five years in prison. Steinle's parents believe the law should be passed.

"I support Kate's law because it would be a legacy in her name and her death would not go unnoticed. For an apolitical family we keep up with politics because we're citizens of the United States," Jim Steinle said. "And, you know, we feel the federal, state, and cities -- their laws are here to protect us but we feel that this particular set of circumstances and the people involved, the different agencies let us down."

The entire interview is worth your time.