Large pelagic fishes often dive and surface repeatedly as if they were airbreathers, raising a question about the functions of these movements. Some species (e.g., bigeye tuna, ocean sunfish) apparently alternate foraging in deep cold waters and rewarming in shallow warm waters. However, it is unclear how prevalent this pattern is among species. Blue sharks are the widest-ranging pelagic shark with expanded vertical niches, providing a model for studying foraging-thermoregulation associations. We used electronic tags, including video cameras, to record the diving behaviour, muscle temperature, and foraging events of two blue sharks. During repeated deep dives (max. 422 m), muscle temperature changed more slowly than ambient water temperature. Sharks shifted between descents and ascents before muscle temperature reached ambient temperature, leading to a narrower range (8 °C) of muscle temperature than ambient temperature (20 °C). 2.5-h video footage showed a shark catching a squid, during which a burst swimming event was recorded. Similar swimming events, detected from the entire tag data (20 − 22 h), occurred over a wide depth range (5 − 293 m). We conclude that, instead of alternating foraging and rewarming, blue sharks at our study site forage and thermoregulate continuously in the water column. Furthermore, our comparative analyses showed that the heat exchange rates of blue sharks during the warming and cooling process were not exceptional among fishes for their body size. Thus, behavioural thermoregulation linked to foraging, rather than enhanced abilities to control heat exchange rates, is likely key to the expanded thermal niches of this ectothermic species.