The Arctic and the Antarctic Peninsula are currently experiencing some of the most rapid rates of ocean warming on the planet. This raises the question of how the initial adaptation to extreme cold temperatures was put in place and whether or not directional selection has led to the loss of genetic variation at key adaptive systems, and thus polar species’ (re)adaptability to higher temperatures. In the Southern Ocean, krill represents the most abundant fauna and is a critical member at the base of the Antarctic food web. To better understand the role of selection in shaping current patterns of polymorphisms, we examined genetic diversity of the cox-1 and hsp70 genes by comparing two closely related species of Euphausiid that differ in ecology. Results on mtcox-1 agreed with previous studies, indicating high and similar effective population sizes. However, a coalescent-based approach on hsp70 genes highlighted the role of positive selection and past demographic changes in their recent evolution. Firstly, some form of balancing selection was acting on the inducible isoform C, which reflected the maintenance of an ancestral adaptive polymorphism in both species. Secondly, E. crystallorophias seems to have lost most of its hsp70 diversity because of a population crash and/or directional selection to cold. Nonsynonymous diversities were always greater in E. superba, suggesting that it might have evolved under more heterogeneous conditions. This can be linked to species’ ecology with E. superba living in more variable pelagic conditions, while E. crystallorophias is strictly associated with continental shelves and sea ice.