The African Penguin (Spheniscus demersus) is a highly social and vocal seabird. However, currently available descriptions of the vocal repertoire of African Penguin are mostly limited to basic descriptions of calls. Here we provide, for the first time, a detailed description of the vocal behaviour of this species by collecting audio and video recordings from a large captive colony. We combine visual examinations of spectrograms with spectral and temporal acoustic analyses to determine vocal categories. Moreover, we used a principal component analysis, followed by signal classification with a discriminant function analysis, for statistical validation of the vocalisation types. In addition, we identified the behavioural contexts in which calls were uttered. The results show that four basic vocalisations can be found in the vocal repertoire of adult African Penguin, namely a contact call emitted by isolated birds, an agonistic call used in aggressive interactions, an ecstatic display song uttered by single birds, and a mutual display song vocalised by pairs, at their nests. Moreover, we identified two distinct vocalisations interpreted as begging calls by nesting chicks (begging peep) and unweaned juveniles (begging moan). Finally, we discussed the importance of specific acoustic parameters in classifying calls and the possible use of the source-filter theory of vocal production to study penguin vocalisations.