Little is known about the early life at sea of marine top predators, like deep diving king penguins (Aptenodytes patagonicus). Apart from finding favourable foraging sites, they have to develop effective prey search patterns as well as physiological capacities that enable them to capture sufficient prey to meet their energetic needs. To investigate the ontogeny of their foraging behaviour and thermoregulation at sea, we implanted 30 juvenile king penguins with a small data logger that recorded pressure and subcutaneous temperature continuously for up to 2.5 years. We found that dive capacity of juveniles was sufficiently developed at first departure and further increased over time. We also found important changes in the development of peripheral temperature patterns throughout their first year at sea, which re-occurred after their annual molt. Our results suggest that juvenile king penguins face a strong energetic challenge during their early oceanic existence.