The eco-evolutionary history of penguins is profoundly influenced by their shift from temperate to cold environments. Breeding only in Antarctica during the winter, the Emperor penguin appears as an extreme outcome of this process, with unique features related to insulation, heat production and energy management. However, whether this species actually diverged from a less cold-adapted ancestor, thus more similar in ecology to its sister species, the King penguin, is still an open question. As the Antarctic niche shift likely resulted in vast changes in selective pressure experienced by the Emperor penguin, the identification and relative quantification of the genomic signatures of selection, unique to each of these sister species, could answer this question. Applying a suite of phylogeny-based methods on 7,651 orthologous gene alignments of seven penguins and 13 other birds, we identified a set of candidate genes showing significantly different selection regimes either in the Emperor or in the King penguin lineage. Our comparative approach unveils a more pervasive selection shift in the Emperor penguin, supporting the hypothesis that its extreme cold adaptation is a derived state from a more King penguin-like ecology. Among the candidate genes under selection in the Emperor penguin, four genes (TRPM8, LEPR, CRB1, and SFI1) were identified before in other cold adapted vertebrates, while, on the other hand, 161 genes can be assigned to functional pathways relevant to cold adaptation (e.g., cardiovascular system, lipid, fatty acid and glucose metabolism, insulation, etc.). Our results show that extreme cold adaptation in the Emperor penguin largely involved unique genetic options which, however, affect metabolic and physiological traits common to other cold-adapted homeotherms.