Behavioral responses to progressive hypoxia exposure were assessed in several species of fish from the family Cottidae (sculpins), which are distributed along the near‐shore marine environment and differ in their hypoxia tolerance. The use of aquatic surface respiration (ASR) and aerial emergence as a response to progressive decreases in environmental O₂ differed between intertidal and subtidal sculpins. Intertidal sculpins consistently displayed ASR followed by emergence behaviors, while the subtidal species performed these behaviors at low frequency or not at all. There was a significant negative correlation between the O₂ thresholds for the onset of ASR and critical O₂ tensions (P_crit, a measure of hypoxia tolerance), such that the hypoxia‐tolerant species performed ASR at higher O₂ tensions than the more hypoxia‐sensitive species. There was no relationship between the O₂ thresholds for emergence and P_crit. When restricted from accessing the water surface during progressive decreases in O₂, all species of sculpin displayed the same sequence of behaviors including agitation, attempts to escape, quiescence, and unresponsiveness. The only behavior from this suite that correlated with P_crit was the first sign of agitation, which occurred at a lower O₂ tension in the most hypoxia‐tolerant species. With the application of phylogenetically independent contrasts, all the relationships between behavior and P_crit were nonsignificant, which limits our capacity to separate selection‐driven changes in behavior from the phylogenetic signal.