The ice age (not the movie series the period of Earth history) is normally associated with northern hemisphere animals such as woolly mammoths, cave bears and woolly rhinos. Struggling alongside the massive ice caps that expanded from the Arctic and engulfed northern North America and Eurasia. At the opposite end of the planet, the Antarctic ice caps also expanded. So where did the penguins go? Although they do spend a considerable amount of time at sea, penguins do need to return to stable sea-ice to lay eggs. Breeding sites have to be within a penguins-walk from open water so that they can fish. During the last ice age the distances between open ocean and stable sea-ice were too great. Genetic analysis of Ross Sea emperor penguins shows that they are distinct from other emperor penguins, implying that this may have been a penguin refuge during the last ice age (genetically distinct = no breeding with other populations). Why the Ross Sea? Well it may well have contained a polynias - a portion of ocean surrounded by sea-ice that does not freeze due to wind and currents.
A study of how climate change has affected emperor penguins over the last 30,000 years found that only three populations may have survived during the last ice age, and that the Ross Sea in Antarctica was likely the refuge for one of these populations. The Ross Sea is likely to have been a shelter for emperor penguins for thousands of years during the last ice age, when much of the rest of Antarctica was uninhabitable due to the amount of ice. The findings suggest that while current climate conditions may be optimal for emperor penguins, conditions in the past were too extreme for large populations to survive.
http://www.sciencedaily.com/releases/2015/03/150301092119.htm