We studied the localization of diadinoxanthin cycle pigments in the diatoms Cyclotella meneghiniana and Phaeodactylum tricornutum. Isolation of pigment protein complexes revealed that the majority of high-light-synthesized diadinoxanthin and diatoxanthin is associated with the fucoxanthin chlorophyll protein (FCP) complexes. The characterization of intact cells, thylakoid membranes, and pigment protein complexes by absorption and low-temperature fluorescence spectroscopy showed that the FCPs contain certain amounts of protein-bound diadinoxanthin cycle pigments, which are not significantly different in high-light and low-light cultures. The largest part of high-light-formed diadinoxanthin cycle pigments, however, is not bound to antenna apoproteins but located in a lipid shield around the FCPs, which is copurified with the complexes. This lipid shield is primarily composed of the thylakoid membrane lipid monogalactosyldiacylglycerol. We also show that the photosystem I (PSI) fraction contains a tightly connected FCP complex that is enriched in protein-bound diadinoxanthin cycle pigments. The peripheral FCP and the FCP associated with PSI are composed of different apoproteins. Tandem mass spectrometry analysis revealed that the peripheral FCP is composed mainly of the light-harvesting complex protein Lhcf and also significant amounts of Lhcr. The PSI fraction, on the other hand, shows an enrichment of Lhcr proteins, which are thus responsible for the diadinoxanthin cycle pigment binding. The existence of lipid-dissolved and protein-bound diadinoxanthin cycle pigments in the peripheral antenna and in PSI is discussed with respect to different specific functions of the xanthophylls.