Blaine, 33, lowered himself into a 2.5-metre high, water-filled acrylic sphere in the plaza of the Lincoln Centre for the Performing Arts, where he will remain submerged for seven days.
He will be kept alive with a mask and air line, and liquid nutrition will be administered through a tube.
"My only fear is the unknown," said Blaine, before descending into the transparent sphere, admitting that the world would see something "pretty insane" if his plan goes wrong.
Hundreds of people turned out to watch Blaine, who is best known for spending 44 days in a glass box suspended above London's River Thames in 2003.
He said that after the week is up, he will come out and be handcuffed, wrapped in 68 kilos of metal chains and dropped back inside the sphere.
Blaine aims to hold his breath for about nine minutes, while escaping from the chains. The current world record for a human holding his breath is eight minutes and 58 seconds.
Doctors have warned that prolonged submersion for the length of time proposed by Blaine poses a number of hazards, including nerve damage, blackouts, sleep deprivation and skin problems.
The water temperature will be maintained at around 97 degrees Fahrenheit (36 degrees Celsius) and he will be able to tweak his own core body temperature by donning specially designed wetsuits.
In order to prepare for his final breath-holding record attempt, Blaine trained for months with Kirk Krack, a professional freediving coach, who said the illusionist had managed to hold his breath for eight minutes in training.
"It's largely about honing his mammalian diving reflex," Krack said. Marine mammals like dolphins and whales are able to dive underwater for lengthy periods by slowing their heartbeats and "shunting" blood from their extremities to their bodies' inner core.
Krack and his team will closely monitor Blaine during the final stunt.