In April 1928, he sailed from New Orleans to Mexico, where he retraced on foot Cortez' conquest of the country and climbed Popocatapetl. In the Yucatan he visited the ancient Mayan site of Chichen-Itza, where young virgins had been ritually thrown into the "Well of Death" to appease the rain god. Standing alone at the lip of the Well, 70 feet above the dark surface of the water, Halliburton was suddenly overwhelmed by a desire to experience what those maidens had felt centuries earlier; before he could think twice, he had stepped off the ledge and was falling. Later, climbing back up the cliff-like walls of the pool, he realized the romantic potential of his action.

Halliburton is known for having paid the lowest toll to cross the Panama Canal, which he swam in 1928, paying 36 cents. Halliburton swam the Panama Canal through the locks; though he made the swim in stages over eight days in mid-August, it was a difficult, and occasionally dangerous, feat which managed to bring him still more notoriety.

In summer 1929 he spent several weeks at the infamous French Prison on Devil's Island, living for a time as a prisoner, and for the remainder of his stay as a guest of the governor. He later stopped off on the island of Tobago, where he played Robinson Crusoe for two weeks, complete with a man "Tuesday," before returning to New York in late August.