Dynamo appears to walk through a border wall dividing Mexico and the US in footage from his new TV programme.
The magician described the stunt as “probably the riskiest piece of magic I’ve ever performed”.
“It took me three years of planning to achieve this and I’m just happy me and my team came back safe and unharmed,” he said.
The magic trick was filmed for his new Sky One programme Dynamo: Beyond Belief.
The footage shows him leaning against the border wall, which is made of large strips of metal, before appearing to slip through a gap and wriggling out the other side.
Last week Dynamo, whose real name is Steven Frayne, revealed he had tested positive for Covid-19 after developing a persistent cough and “lots of aches and pains”.
The 37-year-old was diagnosed with Crohn’s disease in his teens and was at a higher risk due to the underlying health condition.
He previously had to take a two-year break from his career because of his health battles after falling ill in 2017.
Dynamo’s new three-part series charts his recovery from the illness and sees him perform stunts around the world in locations including Tokyo, Mexico City, London and Los Angeles.
Footage of his border wall stunt will air in the series finale.
Dynamo: Beyond Belief airs at 9pm on Thursday on Sky One and all episodes are available as a box set on NOW TV.