The need to balance energy reserves during migration is a critical factor for most long-distance migrants and an important determinant of migratory strategies in birds, insects and land mammals. Large baleen whales migrate annually between foraging and breeding sites, crossing vast ocean areas where food is seldom abundant. How whales respond to the demands and constraints of such long migrations remains unknown. We applied a behaviour discriminating hierarchical state-space model to the satellite tracking data of 12 fin whales and 3 blue whales tagged off the Azores, to investigate their movements, behaviour (transiting and area-restricted search, ARS) and daily activity cycles during the spring migration. Fin and blue whales remained at middle latitudes for prolonged periods, spending most of their time there in ARS behaviour. While near the Azores, fin whale ARS behaviour occurred within a restricted area, with a high degree of overlap among whales. There were noticeable behavioural differences along the migratory pathway of fin whales tracked to higher latitudes: ARS occurred only in the Azores and north of 56°N, whereas in between these areas whales travelled at higher overall speeds while maintaining a nearly direct trajectory. This suggests fin whales may alternate periods of active migration with periods of extended use of specific habitats along the migratory route. ARS behaviour in blue whales occurred over a much wider area as whales slowly progressed northwards. The tracks of these whales terminated still at middle latitudes, before any behavioural switch was detected. Fin whales exhibited behavioural-specific diel rhythms in swimming speed but these varied significantly between geographic areas, possibly due to differences in the day-night cycle across areas. Finally, we show a link between fin whales seen in the Azores and those summering in eastern Greenland-western Iceland along a migratory corridor located in central Atlantic waters.