Rocky is the only pup with aquaphobia (fear of water).
Due to his fear of water, Rocky also has fear of bathing and usually tries to avoid bathing. Rubble (who is known to be quite fond of bubble baths) even once commented that he couldn't even get Rocky near a bathtub in reference to this.
Rocky shares his fears of water and bathing with Cali (who has an aversion to water like most cats), however Cali has no problem in trying forcing Rocky to take one as seen in "Pups Make a Splash".
Also like Cali, there is somewhat of a running gag of Rocky getting sprayed by Marshall's water cannons.
Despite his fears, Rocky often finds himself having to face his fear of water in order to fulfill his PAW Patrol duties.
Although Rocky dislikes water, Rocky doesn't seem to mind snow and ice (which, ironically, is water in solid form).
Despite his aversion to water, Rocky ironically has his own scuba gear for underwater repairs.
Oddly, despite his aversion to water, Rocky reveals he sometimes dreams of being a Mer-Pup. Interestingly, when he is magically transformed into one in "Pups Save a Mer-Pup", he completely lacks his usual aversion to water and actually enjoys it. However upon reverting back to a regular Pup, he quickly regains his normal aversion to water.