The photo, posted on Twitter by the official 'Doctor Who' account, shows the actor filming with companion Jenna Coleman (Clara Oswald).
He can be seen wearing the same costume as Matt Smith, who he succeeded in the Christmas Day episode.
Speaking about his first day in the job, Peter said: “New job, first day, slightly nervous. Just like the Doctor, I'm emerging from the TARDIS into a whole other world.”
Executive producer Steven Moffatt added: "First the eyebrows! Then, at Christmas, the face!
"Coming soon, the whole Doctor. In the Cardiff studios, the Capaldi era begins."
The eighth series of the sci-fi drama begins on BBC One later this year.