Individual differences in oxygen storage and carrying capacity have been associated with differences in foraging success and fitness-related traits. For air-breathing aquatic animals, such differences can limit diving ability, and thus resource access. As many seabirds deplete their energy reserves during breeding and moulting periods, winter foraging efficiency can influence their breeding behaviour and success. Using gentoo penguins (Pygoscelis papua), we investigate (1) if inter-individual variation in diving efficiency is associated with indices of oxygen storage and carrying capacity (hemoglobin, hematocrit, body mass), and (2) if an individual's pre-breeding foraging effort is associated with these oxygen indices and breeding status. Hemoglobin was positively correlated with diving efficiency, particularly for deeper dives, and only penguins with high hemoglobin levels frequently dove at depth ≥ 140m. However, pre-breeding foraging effort increased with hemoglobin levels, a relationship likely explained by the fact that reaching deep offshore waters requires additional travelling compared to nearshore foraging. The relationship with hematocrit was non-linear, suggesting that commonly-used analyses may not be appropriate for this index. We found that early-laying penguins spent less time at sea prior to nesting than non-breeding penguins. Our study suggests that diving ability, and thus likely access to resources, is linked to aerobic capacity, and that lower foraging effort is associated with early laying. These associations suggest that anthropogenic changes (e.g., an increase in shallow water fisheries) may have differing impacts on individuals. Further understanding these links could help the conservation of diving species.