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 feathers layers (double coat) before the old plumage is shed. We hypothesize that the combination of the high metabolism required for new feathers 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 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, therefore suggesting a higher thermal insulation. On the opposite, the periorbital region, a potential proxy of core temperature in birds, increased during these same early moulting stages. The surface temperature of bill, flipper and foot (thermal windows) tended to initially increase during the moult period, highlighting the likely need for extra heat dissipation in moulting penguins. These results raise questions regarding the thermoregulatory capacities of wild penguins during the challenging period of moulting on land in the current context of global warming.