The former Spurs, Newcastle and England player is known in Italy for his time with Rome club Lazio in the 90s. He also starred for England in the 1990 World Cup in Italy.
The reality show, which is known in Italian as "L'Isola dei Famosi" or "The Island of the Famous", is taking place on a Central American island near Honduras, believed to be Cayos Cochinos.
The Euro 1996 star, widely known as Gazza, jumped from a helicopter into the sea before swimming to land as he was introduced to the show on Monday.
The show follows a similar format to ITV's I'm A Celeb, but is not affiliated with the ITV show. 15 celebrities compete over the course of ten weeks for a prize of 100,000 euros.
His first challenge on arrival involved diving into a muddy sandpit on the beach for his team.Gazza said if he wins, he will donate the money to a charity in the name of his late nephew Jay Lennon Gascoigne, who died of an overdose in 2016 aged 22. The charity was set up by Paul's sister Anna.
Paul missed the birth of his first grandchild on Friday due to the appearance on the show. His daughter-in-law Jaimee - partner of Gazza's adopted son Mason - gave birth to a son on Friday.
Paul said he was interviewed to take part in the 2009 show of ITV's I'm A Celebrity...Get Me Out of Here, but recently claimed he failed a psychiatrist's test in the pre-interview stage of casting.
The ex-Rangers player is also known for his struggles with alcoholism, and said recently he was drinking again and that he would "always be an alcoholic".
It is reported that Gascoigne passed a series of mental and physical tests before appearing on the Italian reality TV show.