More than 1,500 people took to the sea at Saundersfoot at lunchtime, cheered on by a crowd of about 8,000.
X-Factor finalist Jay James, who is from the town, started the swim.
There was also a mascot race prior to the start of the main event, with Danny Dog of Heatherton Country Sports Park winning.
Over its 31-year history, the swim has raised more than Â£500,000 for charity.
World War One was commemorated by swimmers in fancy dress who took to the cold water off the Pembrokeshire coast for the annual New Year's Day swim.