On this day, believers commemorate the baptism of Christ in the Jordan River.
Russian television showed him approaching a hole cut in the ice on Lake Seliger wearing a thick beige fur coat and thick Ugg-style boots.
Putin, 65, approached a hole cut in the ice in north-western Russian Federation before dipping himself into the water and crossing himself. "The temperature fell to minus 63 degrees but this did not scare off the believers", the eparchy said.
Asked whether the water was too cold, Putin replied, "No, it's great". He lowered himself into the water, made a sign of the cross and submerged himself for a moment, in a scene captured by state media.
It is reportedly the first time has publicly taken part in the ritual.
However, his spokesman Dmitry Peskov said that Putin "has been plunging into an ice hole for a number of years now", quoted by TASS state news agency. It is believed the holy water contains immortal features of the river Jordan.
Orthodox priests can be seen chanting and waving incense for the ceremony marking the Epiphany - which is celebrated on January 19th by churches following the Julian calendar.
Epiphany bathing was held for the first time in Verkhoyansk, a town in Yakutia, which is considered to be the Pole of Cold of the northern hemisphere.
In Norilsk, a Siberian city beyond the Arctic Circle, local authorities on Thursday banned bathing "to avoid frostbite and emergency situations" as temperatures in some areas hit minus 52 Celsius and strong winds whipped up a blizzard.