On "The Kelly File" tonight, Megyn Kelly spoke to former Texas Gov. Rick Perry in an exclusive interview, his first since leaving office.

Perry said that President Obama's State of the Union address fell flat on the issue of immigration, with only two brief mentions.

He added that Republicans should work to undo Obama's executive action on immigration.

Perry explained that immigration reform is an economic issue because of policies that have been foisted upon citizens by the Obama administration.

"The federal government absolutely refuses to do its constitutional duty and secure the border," Perry said. "If they want to have some help on how to do it, we can tell them."

"I will not support this president or Congress in anything until they secure the border," he stated. "And they can, he just refuses to do it."

Perry also revealed that he will make a decision about a possible 2016 presidential run by May or June.

Watch the interview above.