William "Roddie" Bryan and his fiancee spoke to Action News in Jacksonville, and he says he and his family have been receiving death threats since the video leaked online last week.

Bryan, who was speaking out for the first time, doesn't explain why he was recording the vid ... which shows Travis McMichael -- with his father Gregory in tow -- shoot Ahmaud during a struggle back in February. Bryan says he's in "complete shock" because he's "never been involved in anything like that before."

The Georgia Bureau of Investigation announced Bryan and his video are under investigation. He was initially named in the police report as trying to block Ahmaud during the controversial chase but Bryan claims he had no involvement. As we've reported ... Georgia's Attorney General is asking the Justice Department to step in and help get to the bottom of all of this.

Bryan told Action News, “I had nothing to do with it. I'm trying to get my life back to normal, and it’s been smeared for the last week. I was told I was a witness and I’m not sure what I am, other than receiving a bunch of threats.”