Genetic variation is instrumental for adaptation to changing environments but it is unclear how it is structured and contributes to adaptation in pelagic species lacking clear barriers to gene flow. Here, we applied comparative genomics to extensive transcriptome datasets from 20 krill species collected across the Atlantic, Indian, Pacific, and Southern Oceans. We compared genetic variation both within and between species to elucidate their evolutionary history and genomic bases of adaptation. We resolved phylogenetic interrelationships and uncovered genomic evidence to elevate the cryptic Euphausia similis var. armata into species. Levels of genetic variation and rates of adaptive protein evolution vary widely. Species endemic to the cold Southern Ocean, such as the Antarctic krill Euphausia superba, showed less genetic variation and lower evolutionary rates than other species. This could suggest a low adaptive potential to rapid climate change. We uncovered hundreds of candidate genes with signatures of adaptive evolution among Antarctic Euphausia but did not observe strong evidence of adaptive convergence with the predominantly Arctic Thysanoessa. We instead identified candidates for cold-adaptation that have also been detected in Antarctic fish, including genes that govern thermal reception such as TrpA1. Our results suggest parallel genetic responses to similar selection pressures across Antarctic taxa and provide new insights into the adaptive potential of important zooplankton already affected by climate change.