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Hey guys, this three words all have the meaning: go down the water, so what is the differences between them and how to use them, thanks a lot.

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immerge (verb) an archaic word for immerse

Do you know what "archaic" means?

Compare the definitions and usages here. pay ttention to the first entry, because it is the most common usage.

Immerse:

A submarine submerges. It does not immerse.