The purpose of this paper is to study active position control of a shape memory alloy (SMA) wire actuator with forced cooling, particularly, in water. The TiNi, or Nitinol type shape memory alloy wire is selected as the actuating element for position control because of its high recovery stress (> 500 Mpa) and its high strain tolerance (up to 5%). However, SMAs exhibit hysteresis, a type of non-linearity, which causes adverse effects in the precision control of the actuator. To compensate for the non-linearity associated with the shape memory alloy, a control approach employing a robust compensator is used to actively regulate the position of the SMA wire actuator. To study methods to improve a SMA actuator’s response, water is used as the forced cooling liquid in this research. Experimental results show that the SMA actuator in water can be precisely controlled using the proposed control approach with a much faster response. Experimental data also show that the total energy consumption for the SMA actuator to perform back-and-forth tasks in water is similar to that in the air though holding a deformed shape in water consumes much more energy than that in the air for the SMA wire actuator.