Baleen whales face the challenge of finding patchily distributed food in the open ocean. Their relatively well-developed olfactory structures suggest that they could identify the specific odours given off by planktonic prey such as krill aggregations. Like other marine predators, they may also detect dimethyl sulfide (DMS), a chemical released in areas of high marine productivity. However, dedicated behavioural studies still have to be conducted in baleen whales in order to confirm the involvement of chemoreception in their feeding ecology. We implemented 56 behavioural response experiments in humpback whales using two food-related chemical stimuli, krill extract and DMS, as well as their respective controls (orange clay and vegetable oil) in their breeding (Madagascar) and feeding grounds (Iceland and Antarctic Peninsula). The whales approached the stimulus area and stayed longer in the trial zone during krill extract trials compared to control trials, suggesting that they were attracted to the chemical source and spent time exploring its surroundings, probably in search of prey. This response was observed in Iceland, and to a lesser extend in Madagascar, but not in Antarctica. Surface behaviours indicative of sensory exploration, such as diving under the stimulus area and stopping navigation, were also observed more often during krill extract trials than during control trials. Exposure to DMS did not elicit such exploration behaviours in any of the study areas. However, acoustic analyses suggest that DMS and krill extract both modified the whales' acoustic activity in Madagascar. Altogether, these results provide the first behavioural evidence that baleen whales actually perceive prey-derived chemical cues over distances of several hundred metres. Chemoreception, especially olfaction, could thus be used for locating prey aggregations and for navigation at sea, as it has been shown in other marine predators including seabirds.