Diving is central to the foraging strategies of many marine mammals and seabirds. Still, the effect of dive depth on foraging cost remains elusive because energy expenditure is difficult to measure at fine temporal scales in wild animals. We used depth and acceleration data from 8 lactating California sea lions (Zalophus californianus) to model body density and investigate the effect of dive depth and tissue density on rates of energy expenditure. We calculated body density in 5 s intervals from the rate of gliding descent. We modeled body density across depth in each dive, revealing high tissue densities and diving lung volumes (DLV). DLV increased with dive depth in four individuals. We used buoyancy calculated from dive-specific body density models and drag calculated from swim speed to estimate metabolic power (W kg-1) and cost of transport (COT; J m-1 kg-1) in 5 s intervals during descents and ascents. Deeper dives required greater mean power for round-trip vertical transit, especially in individuals with higher tissue density. These trends likely follow from increased mean swim speed and buoyant hinderance that increasingly outweighs buoyant aid in deeper dives. This suggests deep diving is either a 'high cost, high reward' strategy or an energetically expensive option to access prey when shallow prey are limited, and that poor body condition may increase the energetic costs of deep diving. These results add to our mechanistic understanding of how foraging strategy and body condition affect energy expenditure in wild breath-hold divers.