What do they eat: In the wild, both Gentoo and Chinstrap penguins will eat fish and krill, a shrimp-like crustacean. At the CPZ, their diet consists of capelin (a type of smelt) and herring.The King penguin does not rely on crustaceans as much, feeding mainly on fish and squid.hat do they eat: In the wild, both Gentoo and Chinstrap penguins will eat fish and krill, a shrimp-like crustacean. At the CPZ, their diet consists of capelin (a type of smelt) and herring.