At the outbreak of World War II "Penelope" was with the 3rd Cruiser Squadron in the Mediterranean, having arrived at Malta on 2 September 1939. "Penelope" and her sister ship were reallocated to the 2nd Cruiser Squadron in the Home Fleet and arrived at Portsmouth on 11 January 1940. On 3 February she left for the River Clyde en route to Rosyth, arrived on 7 February and operated with the 2nd Cruiser Squadron on convoy escort duties. In April and May 1940, she took part in the Norwegian Campaign.