36-year-old Dennis McDaniels, who was off-duty at the time, was participating in the Escape the Cape Triathlon in Lower Township, New Jersey on Sunday morning.
Officials say a lifeguard spotted McDaniels in distress near the end of the swimming portion.
He was pulled from the water and given CPR. McDaniels was taken to Cape Regional Medical Center but was pronounced dead a short time later.
"We're saddened by the news of the premature passing of Mr. McDaniels yesterday during the Escape the Cape Triathlon," said Tom Cook, the executive director of the Delaware River and Bay Authority. "We offer our heartfelt condolences to his family, friends, and colleagues of the Philadelphia Fire Department."
The Philadelphia Fire Department also announced the "untimely loss" of another off-duty firefighter, but no further details were released.