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The Radio DJ is taking part in a 100-mile trek across the Namib desert in southern Africa for Sport Relief: The Heat Is On.
Grimshaw, 35, said: “We set off and I felt great, felt really good, was drinking loads of water. And then we passed a medic and the medic pulled me and said I want to check your temperature I was like 40 degrees so I had heat exhaustion. And the second I stopped – it was bad, it was really, really scary, it was horrible. I’ve never really experienced that before. It was annoying because I was 2k from the finish line so I couldn’t finish because the medic wouldn’t let me.”
A person with a temperature over 38C is considered feverish. Doctors advised Grimshaw to rest for the second day of the trek to allow his body to recover.
He said: “I got back had some treatment and saw the doctors again last night. Today they told me I can’t compete, which is really annoying and upsetting and frustrating because this is what we’re here to do.
“Hopefully tomorrow I’ll be on top form and ready to continue.”
Also taking part in the challenge are singer Frankie Bridge, children’s TV presenter Karim Zeroual, journalist Krishnan Guru-Murthy, BBC Breakfast host Louise Minchin, TV judge Rob Rinder and actress Samantha Womack.
The celebrities began their trek with a 35-mile bicycle ride before continuing on foot for 24 miles, in temperatures of 35C.
Former Saturdays star Bridge, 31, said: “Yesterday was probably one of the worst and hardest days of my life. It turns out I'm no good at cycling.
“Everything is dead out here – we haven't seen anything alive apart from beetles. I've got massive blisters on my feet and the medic had to burst them all and wrap my feet up before we set out to walk today.”
The team are doing the trek to help break down the stigma of mental health and raise money for mental health services.
One in four people will be affected by a mental health problem in their lifetime, and each of the celebrities taking part have their own experiences with the cause.
The trek is being filmed for a special Sport Relief documentary due to air on BBC One in March.