Bam Margera -- I Was ARRESTED at Mardi Gras

Bam Margera spent Fat Monday in the custody of the New Orleans Police Department ... after the "Jackass" star got arrested for getting a little too crazy during a Mardi Gras party.

TMZ obtained photos of Bam being escorted into a police station Monday after he was detained by 3 officers in the French Quarter.

We reached out to Bam and asked if he was officially arrested ... and he replied, "Yeah, I was swimming in a pool with my clothes on at Mardi Gras."

He added, "Not really a good story ... but that's what happened."

Sources tell us Bam was soaking wet when he was taken into custody ... and was handcuffed at the scene.

Bam has since been released -- so far, it's unclear if he was charged with a crime.