Antarctic krill swarms are one of the largest known animal aggregations, and yet, despite being the keystone species of the Southern Ocean, little is known about how swarms are formed and maintained. Understanding the local interactions between individuals that provide the basis for these swarms is fundamental to knowing how swarms arise in nature, and what potential factors might lead to their breakdown. Here, we analysed the trajectories of captive, wild-caught krill in 3D to determine individual-level interaction rules and quantify patterns of information flow. Our results demonstrate that krill align with near neighbours and that they regulate both their direction and speed relative to the positions of groupmates. These results suggest that social factors are vital to the formation and maintenance of swarms. Furthermore, krill operate a novel form of collective organization, with measures of information flow and individual movement adjustments expressed most strongly in the vertical dimension, a finding not seen in other swarming species. This research represents a vital step in understanding the fundamentally important swarming behaviour of krill.