Once a year, penguins undergo a catastrophic moult, replacing their entire plumage during a fasting period on land or on sea-ice during which time individuals can lose 45% of their body mass. In penguins, new feather synthesis precedes the loss of old feathers, leading to an accumulation of two feather layers (double coat) before the old plumage is shed. We hypothesized that the combination of the high metabolism required for new feather synthesis and the potentially high thermal insulation linked to the double coat could lead to a thermal challenge requiring additional peripheral circulation to thermal windows to dissipate the extra heat. To test this hypothesis, we measured the surface temperature of different body regions of captive gentoo penguins (Pygoscelis papua) throughout the moult under constant environmental conditions. The surface temperature of the main body trunk decreased during the initial stages of the moult, suggesting greater thermal insulation. In contrast, the periorbital region, a potential proxy of core temperature in birds, increased during these same early moulting stages. The surface temperature of the bill, flipper and foot (thermal windows) tended to initially increase during the moult, highlighting the likely need for extra heat dissipation in moulting penguins. These results raise questions regarding the thermoregulatory capacities of penguins in the wild during the challenging period of moulting on land in the current context of global warming.