The Little Britain star is swimming the length of England's River Thames from Gloucestershire to Big Ben in London.
Hundreds of fans gathered to cheer on Walliams as he began the eight-day bid, which is 120 miles (193 kilometres) longer than his swim across the English Channel in 2006.
Speaking ahead of the challenge, Walliams described his greatest fear heading into the river - swans.
He told reporters, "When I got here last night there were about 30 swans and I have been attacked by swans in the training, so I am actually quite nervous about them. When they're coming towards you fluffing their wings and hissing when you're in the water, it's quite scary."
Walliams is donating the money he raises to U.K. charity Comic Relief.