The 45-year-old said he is taking part in the “toughest Ironman in the world” to “break the stigma” around the illness.
He was one of hundreds of athletes who gathered on the start line for the Ironman Wales race in Tenby.
Thomas completed the 2.4 mile swim section in Carmarthen Bay in just under an hour-and-a-half, before switching to a push bike for a 112-mile race across south Pembrokeshire.
The final leg of the challenge will see him take on a 26.2 mile marathon through Tenby, in south west Wales.
Thomas, a former British and Irish Lions captain - who came out as gay in 2009, is thought to be the first UK sportsman to go public about living with HIV.
In a video posted on his Twitter page, he said: “I am living with HIV.
“Now you have that information that makes me extremely vulnerable, but it does not make me weak. Even though I have been forced to tell you this, I choose to fight, to educate and break the stigma around this subject.
“And that begins today when I take on the toughest ironman in the world in Tenby, and I push myself physically to the limit.”
Thomas said he went public with his illness after being put “through hell” by blackmailers who threatened to expose his secret.
In an interview with the Sunday Mirror, Thomas said: “I’ve been living with this secret for years.
“I’ve felt shame and keeping such a big secret has taken its toll. I was in a dark place, feeling suicidal. I thought about driving off a cliff.
“To me, wanting to die was just a natural thought and felt like the easier way out, but you have to confront things.”
The former Cardiff Blues player won 103 caps and scored 41 tries for Wales between 1995 and 2007, and he is 13th on the all-time international test try-scoring list.