Fish moving between different thermal environments experience heat exchange via conduction through the body wall and convection from blood flow across the gills. We report a strategy of preventing convective heat loss at the gills during excursions into deep, cold water by the tropical scalloped hammerhead shark (Sphryna lewini). Adult scalloped hammerhead sharks dive rapidly and repeatedly from warm (~26°C) surface waters to depths exceeding 800 meters with temperatures as low as 5°C. Biologgers attached to adult sharks show that warm muscle temperatures were maintained throughout the deepest portion of each dive. Substantive cooling only occurred during the latter stages of the ascent phase and, once initiated, was rapid. Heat transfer coefficient modeling indicated that convective heat transfer was suspended, probably by suppressing gill function during deep dives. This previously unobserved strategy has broad similarities to marine mammal "breath hold" diving.