An understanding of the microbial communities in African penguins (Spheniscus demersus) could provide valuable information for saving this endangered species. The objective of this study was to investigate the composition, diversity and sex-related differences in the intestinal microbiota of captive African penguins. Fecal samples were collected from 21 captive adult African penguins reared in the same conditions at Shanghai Zoo. The results show that Proteobacteria, Actinobacteria and Firmicutes were the predominant bacteria in the intestinal microbiota of the captive African penguins. No difference was found in microbial diversity between female and male African penguins, as shown by their similar alpha and beta diversities. However, a notable sex-related difference was found between their microbial compositions. Female African penguins have a higher abundance of Pseudomonas and a lower abundance of Kocuria than males. A functional prediction indicates that the “mRNA surveillance pathway”, “Polyketide sugar unit biosynthesis”, “Wnt signaling pathway”, “Lysosome” and “Cell cycle” pathways were significantly enriched in the microbiota of female African penguins. In conclusion, the present study indicates that the compositions and predicted functions of the intestinal microbiota are significantly different between the sexes. Our data suggest that the intestinal microbiota of female African penguins are more unstable than the intestinal microbiota of males in captivity.