Different krill species have a pivotal position in many marine food webs by both preying upon several trophic levels and being forage species for consumers. Within these food webs, different krill species coexist, though it remains unclear what mechanisms allow for the coexistence, for instance, of northern krill species in subarctic environments. Here, we hypothesize that the stable coexistence of sympatric krill species is based on trophic niche partitioning related to seasonal trade‐offs between their respective food preferences, their energy needs, and prey availability. To test our hypothesis, we analyzed the diets, feeding selectivity, and lipid composition of three coexisting northern krill species (Meganyctiphanes norvegica, Thysanoessa inermis, and Thysanoessa raschii) throughout 1 yr using a multimarker approach. We assessed lipid classes, fatty acids, and stable isotope signatures of krill and potential food sources (27 groups, from phytoplankton to lipid‐rich copepods) to elucidate seasonal variation of niche utilization. Results revealed strong trophic niche separation occurring at a very fine trophic scale (species level) throughout the year. The three krill species showed different degrees of food specialization rather than being purely opportunistic as classically proposed. Feeding on copepod prey was important to accumulate energy reserves for overwintering and subsequent rebuilding of energy reserves. Energy reserve utilization might reduce potential competition for the limited available resources, especially under low food conditions.