Predators make foraging decisions based upon sensory information about resource availability, but little is known about how large, air-breathing predators collect and use such information to maximize energy returns when foraging in the deep sea. Here, we used archival tags to study how echolocating sperm whales (Physeter macrocephalus) use their long-range sensory capabilities to guide foraging in a deep-water habitat consisting of multiple, depth-segregated prey layers. Sperm whales employ a directed search behaviour by modulating their overall sonar sampling with the intention to exploit a particular prey layer. They forage opportunistically during some descents while actively adjusting their acoustic gaze to sequentially track different prey layers. While foraging within patches, sperm whales adjust their clicking rate both to search new water volumes as they turn and to match the prey distribution. This strategy increases information flow and suggests that sperm whales can perform auditory stream segregation of multiple targets when echolocating. Such flexibility in sampling tactics in concert with long-range sensing capabilities apparently allow sperm whales to efficiently locate and access prey resources in vast, heterogeneous, deep water habitats.