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Penguins are known to react to underwater noise, but it is unknown if they make use of sound cues while diving. We tested whether captive gentoo penguins (Pygoscelis papua) can pair underwater sounds with food through Pavlovian conditioning. Two seconds after an underwater sound (a 1-4 kHz sweep with a received level of 130 dB re 1 µPa RMS) was played back to one or two unidentifiable penguins, a dead fish was flushed into the water close to the underwater sound source. After 8 weeks of conditioning, one or more individual penguins approached the sound source after sound emission in 78.3% out of 230 trials. In 43 intermixed control trials with no sound preceding the fish, the penguins did not show any reaction in the pre-flush period. In an additional experiment, three identified penguins reacted to the sound in 66.7-100% out of 30 trials, with 0% reactions in five intermixed control trials. Our experiments demonstrate that gentoo penguins can be conditioned to underwater sound and that they associate underwater sounds with food. It is possible that gentoos, as well as other species of penguins, use sound cues while foraging. This may explain why penguins have been observed to react negatively to anthropogenic noise.