Braving temperatures hovering at 8 to 10 degrees, the pair was accompanied by 3,000 other Chicagoans for the 14th annual Polar Plunge at North Avenue Beach on the city's North Side. The water temperature was 32.
Fallon, dressed in a dark business suit, walked into the lake and then laid down on his back about 10 feet in, the Chicago Tribune reported.
"If you hear a scream like a little girl's, just know that Jimmy Fallon is swimming in Lake Michigan," Fallon said before taking his dip.
"You could almost see his eyeballs popping out," Mike Field, a member of the Shannon Rovers bagpipe troupe, told the Tribune.
Emanuel agreed to take part in the plunge to raise money for the Special Olympics after Chicago schoolchildren read 2.1 million books through the public library system.
Fallon agreed after Emanuel said he'd appear on the "Tonight Show" if Fallon took the plunge.