The broadcasting watchdog will determine whether it was dangerous for the presenter to inhale the gas on the pre-watershed ITV show.
Helium is often inhaled as a party piece, but can prove dangerous as it cuts off oxygen to the body and can even cause gas bubbles in the blood in extreme cases.
An Ofcom spokesman said: "Ofcom has opened an investigation into whether it was harmful for the presenter to demonstrate inhaling helium gas during this live pre-watershed show."
O'Grady recently promised that we won't be seeing him on Strictly Come Dancing any time soon, claiming that he'd 'smash Craig Revel Horwood's face in'.
Meanwhile, Ofcom has also announced that it is looking into Nigel Farage's recent appearance on Good Morning Britain, following claims the programme breached impartiality rules by failing to