Penguins are among the most specialized thermoregulators on the planet, however, the same adaptations that maximize heat retention underwater likely hinder heat dissipation on land, possibly creating dangerous thermoregulatory challenges when encountering warming terrestrial habitats. Penguins are subject to strictly terrestrial phases, such as moulting, when metabolic heat production, insulation, and energetic constraints are heightened. We assessed thermoregulation in moulting captive king penguins (Aptenodytes patagonicus) using simultaneous measurements of core and surface temperatures to test two hypotheses. Under the thermal challenge hypothesis, an initial rise in heat dissipation effort (i.e., increased peripheral vasomotion) followed by a rise in core temperature would indicate failure to prevent hyperthermia. Under the warm-up hypothesis, an initial rise of core temperature concomitant or followed by an increase of peripheral vasomotion would indicate regulated hyperthermia, possibly to accelerate feather development. Core and surface temperatures increased drastically but concomitantly during moult, providing tentative support for the warm-up hypothesis. Moulting penguins did not pant, suggesting that peripheral heat dissipation was sufficient to regulate moulting-induced hyperthermia. Core and subcutaneous temperatures in wild individuals resembled patterns measured in captivity, despite lower heat load and additional options for behavioural thermoregulation. These results indicate that hyperthermia is prevalent in moulting king penguins, and documenting the timing of temperature changes provides novel insights for the moulting physiology of penguins. Because moulting-induced hyperthermia may contribute to heat load, we caution that moulting may increase the susceptibility of wild penguins to heat stress, especially as regions near the poles warm at a disproportionately rapid rate.