Marine planktonic copepods of the order Calanoida are central to the ecology and productivity of high latitude ecosystems, representing the interface between primary producers and fish. These animals typically undertake a seasonal vertical migration into the deep sea, where they remain dormant for periods of between three and nine months. Descending copepods are subject to low temperatures and increased hydrostatic pressures. Nothing is known about how these organisms adapt their membranes to these environmental stressors. We collected copepods (Calanoides acutus) from the Southern Ocean at depth horizons ranging from surface waters down to 1000 m. Temperature and/or pressure both had significant, additive effects on the overall composition of the membrane phospholipid fatty acids (PLFAs) in C. acutus. The most prominent constituent of the PLFAs, the polyunsaturated fatty acid docosahexanoic acid [DHA - 22:6(n-3)], was affected by a significant interaction between temperature and pressure. This moiety increased with pressure, with the rate of increase being greater at colder temperatures. We suggest that DHA is key to the physiological adaptations of vertically migrating zooplankton, most likely because the biophysical properties of this compound are suited to maintaining membrane order in the cold, high pressure conditions that persist in the deep sea. As copepods cannot synthesise DHA and do not feed during dormancy, sufficient DHA must be accumulated through ingestion before migration is initiated. Climate-driven changes in the timing and abundance of the flagellated microplankton that supply DHA to copepods have major implications for the capacity of these animals to undertake their seasonal life cycle successfully.