Penguin Highway follows Aoyama, an intelligent fourth-grader who is constantly jotting down everything that he learns in his notebooks. He is also on good terms with "Onee-san", a young lady who works at the dental clinic that he goes to. Aoyama is shocked when he encounters a penguin in the middle of his suburban town, which is nowhere near the sea. The mystery only deepens when Aoyama observes "Onee-san" tossing away a can of cola, only for the can to inexplicably turn into a penguin! He decides to investigate and resolve the mystery behind these strange events.