Taking to his social media profiles on Monday, the presenter shared a black-and-white selfie, which showed him donning black sunglasses, alongside the caption: "Off to a top-secret location to start filming a very exciting new project for @channel5_tv.
WATCH: Dan Walker bids heartfelt goodbye to BBC Breakfast
"Details soon… I hope you like it. Keep your Friday nights free."
Fans were quick to express their intrigue in the comments section, with one person writing: "Very mysterious!" while another added: "Oohh exciting will look forward to that."
A third person joked: "The name's Bond, Dan Bond."
Dan made the move to Channel 5 in June following his exit from BBC Breakfast back in May. The 45-year-old began hosting Channel 5's evening news show, 5 News, after fronting the BBC morning programme for almost six years.
Dan is filming for a new project on Channel 5
Opening up about his reasons for leaving during one of his final shows on the BBC, he told his co-host Sally Nugent: "I think sometimes opportunities come along and you have to grab them, don't you?
"And I've never ever been motivated by money in any job that I've ever taken, and even though I love BBC Breakfast, everybody that works on the show, this is a fantastic opportunity to work with a brilliant team at Channel 5 and also go and make some other programmes outside of news."
Ahead of starting his new job as anchor on Channel 5, the journalist opened up about the downside of his career, admitting that he is "embarrassed" about how much he earns.
Dan left BBC Breakfast in May
Chatting to the Daily Mail Weekend magazine recently, Dan said candidly: "I hate talking about money. I feel uncomfortable that I get paid a lot to do a job I love. I remember the first day a national newspaper published what I earned on the front page. That was awful."
He continued: "I am embarrassed by the amount I earn. My parents had no money growing up. All my clothes were hand-me-downs. At a time when people are struggling to put food on the table, it's horrible to have your salary on the front page."
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