The poorly known winter foraging ecology of the king penguin, a major Southern Ocean consumer, was investigated at the subantarctic Crozet Islands where the largest global population breeds. Blood δ13C and δ15N values were used as proxies of the birds’ foraging habitat and diet, respectively, and circulating prolactin levels helped in determining the birds’ reproductive status. Plasma prolactin concentrations showed that king penguin adults of unknown breeding status (n = 52) that were present at the colony in winter were in fact breeders and failed breeders, but were not non -breeders. Circulating prolactin was neither related to δ13C nor δ15N values, thus suggesting that both breeders and failed breeders used the same foraging habitats and fed on the same prey. Plasma and blood cell isotopic values depicted four new relevant biological features on the feeding strategies of king penguins during the critical winter period: (1) 42% of the birds foraged in the distant Antarctic Zone, but 58% fed primarily in subantarctic waters (δ13C), (2) they preyed upon myctophids in both zones (δ15N), (3) individuals were consistent in their foraging strategies over the winter months (δ13C and δ15N), and (4) a higher proportion of females (77%–80%) than males (27%–31%) favored feeding in distant Antarctic waters (δ13C). This study highlights trophic connectivity between subantarctic and Antarctic ecosystems and hence the key role of energy export from Antarctic waters to sustain breeding populations of subantarctic predators, including during the Austral winter.