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Background Seabirds are important components of marine ecosystems, both as predators and as indicators of ecological change, being conspicuous and sensitive to changes in prey abundance. To determine whether fluctuations in population sizes are localised or indicative of large-scale ecosystem change, we must first understand population structure and dispersal. King penguins are long-lived seabirds that occupy a niche across the sub-Antarctic zone close to the Polar Front. Colonies have very different histories of exploitation, population recovery, and expansion. Results We investigated the genetic population structure and patterns of colonisation of king penguins across their current range using a dataset of 5154 unlinked, high-coverage single nucleotide polymorphisms generated via restriction site associated DNA sequencing (RADSeq). Despite breeding at a small number of discrete, geographically separate sites, we find only very slight genetic differentiation among colonies separated by thousands of kilometers of open-ocean, suggesting migration among islands and archipelagos may be common. Our results show that the South Georgia population is slightly differentiated from all other colonies and suggest that the recently founded Falkland Island colony is likely to have been established by migrants from the distant Crozet Islands rather than nearby colonies on South Georgia, possibly as a result of density-dependent processes. Conclusions The observed subtle differentiation among king penguin colonies must be considered in future conservation planning and monitoring of the species, and demographic models that attempt to forecast extinction risk in response to large-scale climate change must take into account migration. It is possible that migration could buffer king penguins against some of the impacts of climate change where colonies appear panmictic, although it is unlikely to protect them completely given the widespread physical changes projected for their Southern Ocean foraging grounds. Overall, large-scale population genetic studies of marine predators across the Southern Ocean are revealing more interconnection and migration than previously supposed. Electronic supplementary material The online version of this article (doi:10.1186/s12862-016-0784-z) contains supplementary material, which is available to authorized users.