7 March 2016 Last updated at 14:41 GMT
It's the second year that the singer has taken part in the 'Polar Plunge' event, which supports young athletes taking part in the Chicago's Special Olympics.
The lake wasn't as cold as it has been in some years, when organisers have previously had to break ice on the surface, but it was still a chilly 2.2 C.
Lady Gaga joined more than 4,500 people jumping into the freezing water of Lake Michigan in Chicago, to raise money for charity.