The Little Britain star is swimming the length of England's River Thames from Gloucestershire to Big Ben in London, a total of 140-miles (225-kilometres), to raise money for Sport Relief.
Walliams was waved off by fans and his wife, supermodel Lara Stone, as he began the eight-day feat on Monday (05Sep11).
But a short distance into his swim the comedian had to change out of his trunks and into a wetsuit on his first stop to prevent him from suffering hypothermia after his trainer noticed his back turning blue.
Walliams says, "The first section of the swim has really shocked me. The water is two degrees colder than when I swam the (English) Channel, just 15 degrees. Although that doesn't sound like much, it has made a massive difference to how I've been able to cope.
"Even though I don't like swimming in wetsuits because they're restrictive, I just had to wear one. Even if it only makes me think about the cold every 10 seconds rather than every five seconds. I'm a bit daunted by the way this has started. You can train as much as you want but with these kind of things you don't really know what it will be like until you start them."
Walliams had to stop his first day behind schedule because he was in "a lot of pain", according to the Sport Relief Twitter.com page.
But the TV star set off on the challenge again on Tuesday morning (06Sep11) - and he's already facing difficult conditions.
Another post from Sport Relief reads, "The rain, for obvious reasons, is only mildly annoying for David. This cross wind on the other hand is making life very tough."