The poodle cross named Ponzo - believed to be a goldendoodle - was reportedly chasing something when she ran out across the boating lake in Dulwich around 8.20am on Friday.
Freezing cold and soaking wet, she managed to swim to an island in the middle of the water where she became stranded, while her owner rang London Fire Brigade (LFB).
Firefighters had to break through the ice, before paddling across the water in one of the brigade's inflatable boats, to rescue Ponzo and take her to safety.
LFB and the RSPCA have since warned dog walkers to keep dogs away from frozen waters.
Station Commander Pat Ackroyd, who was at the scene, said: "The owner absolutely did the right thing by calling us out. The ice was really thick and crews had to work hard to smash through it to create a path for the boat to reach Ponzo.
"Once rescued, she was checked over and wrapped in a blanket before being given back to her grateful owner.
"This incident highlights the dangers of keeping dogs off leads near water, particularly in these freezing temperatures."
RSPCA Pet Welfare Specialist Dr Sam Gaines said: "Our advice at the RSPCA is to keep dogs away from frozen ponds, lakes or rivers which can pose a danger and make sure their paws do not get impacted with snow.
"It is best to walk dogs away from frozen water or keep them on the lead if it’s unavoidable. If your dog ventures onto the ice, never follow them onto it, instead call them to come back to you right away, but if they get stuck call fire and rescue services for help.
"Owners should never try to risk rescuing their pet themselves as they could get themselves into a dangerous situation."
Assistant Commissioner for Prevention and Protection, Charlie Pugsley, also warned of the dangers icy water can pose to humans.
"Even if ice appears thick from the bank, it becomes thinner very quickly. Keep away from the edge of the open water, especially slippery banks," he said.
"If you fall in, the temperature of icy water is cold enough to take your breath away, which can easily lead to panic and drowning.
"The coldness can make your arms and legs numb which means you can’t control them and can’t swim. It can lead to hypothermia – a serious reduction in your body temperature – which can cause heart failure. This happens even to the strongest swimmers."