The Brokeback Mountain actor and the show's host were winched down onto the glacier from a helicopter just before a storm and faced a two-day hike to get to their destination, where they would be picked up.
Brave Gyllenhaal and Brit Grylls trekked up the steep glacier and found a dead sheep in a pit created by volcanic heat. The movie star offered to gut the creature so the fleece could be used to keep the pair warm - but the animal was too decomposed.
The two adventurers then dug out a snow hole with their hands so they had somewhere to spend the night away from storms.
Gyllenhaal confessed he has a natural ability to dig: "I like digging holes. Maybe I was a gopher in a past life."
After a brief sleep and a breakfast feast of worms and roots, the pair set off again.
Day two began with the crossing of an icy river and both men had to strip off to keep their clothes dry, crossing the glacial torrent with waterproof rucksacks. On the other side, they quickly dressed and hiked energetically to keep themselves warm.
The final challenge came when Gyllenhaal realised he'd have to pull himself across a gorge on a rope. He cautiously followed the host, balancing his body against the high winds and hail lashing his face.
Getting to the other side, Grylls and Gyllenhaal faced a brief hike to their helicopter meeting place, where they were carried off the glacier and away from the storms.
Upon completing his adventure, a thrilled Gyllenhaal - who is a big fan of Grylls' show - said, "The whole thing was pretty much a high."