Penguins are the only extant family of flightless diving birds. They currently comprise at least 18 species, distributed from polar to tropical environments in the Southern Hemisphere. The history of their diversification and adaptation to these diverse environments remains controversial. We used 22 new genomes from 18 penguin species to reconstruct the order, timing, and location of their diversification, to track changes in their thermal niches through time, and to test for associated adaptation across the genome. Our results indicate that the penguin crown-group originated during the Miocene in New Zealand and Australia, not in Antarctica as previously thought, and that Aptenodytes is the sister group to all other extant penguin species.