Anderson, who just learned how to swim five years ago, said he decided to give the show a try after producers showed him a clip of the Netherlands version. He said it's the most exciting thing he's ever done.
"I'm at 23 feet, diving into 17 feet of water. I'm over 400 pounds," he said. "Who doesn't want to see that? I do. I'm always shocked that I can do it."
The stand-up comedian said he's glad the show is catching on with viewers.
"I didn't have any idea if it would be a hit or not," he said. "I was either going to be inspirational or a laughingstock. So I'm lucky that some people thought I did a good job."
Anderson said he's having a lot of fun, but he's also trying to win.
"I know people don't think I have a chance, but that's how I think," he said. "Why do it if you don't do it great?"