The Argentinian model was spotted training for the ITV programme at a pool in Essex, and a photo of him with the show's mentor Tom Daley was uploaded to the Olympian's Instragram earlier this week.
"Leandro can't wait to get started on the new show," a source told The Sun. "He has decided to make a life for himself in Britain despite his split from Katie Price.
"He has thrown himself into training and picked up a few knocks. He wants viewers to see a new side to him and that he is more than just an ex of Katie's."
Penna's participation in Splash has apparently irked Price, with one friend saying: "Leandro is just the latest to use her name to get fame for themselves.
"The fear is producers will use his connection to goad her and cause her discomfort."
Price confirmed her separation from Penna in October, six months after they became engaged. They had been dating on and off since February 2011.
Penna later blasted the former Page 3 girl in a magazine interview, claiming that she "betrayed" him by messaging X Factor star Dan Ferrari-Lane of District3.