Mitochondrial and nuclear DNA evidence suggests the genus split from other penguins around 38 million years ago, about 2 million years after the ancestors of the genus Aptenodytes. In turn, the Adelie Penguins split off from the other members of the genus around 19 million years ago.*
There are also three extinct species:
1) Pygoscelis grandis (Bahía Inglesa Formation, Late Miocene/Early Pliocene of Bahía Inglesa, Chile)
2) Pygoscelis calderensis (Bahía Inglesa Formation, Late Miocene of Bahía Inglesa, Chile)
3) Tyree's Penguin, Pygoscelis tyreei (Pliocene of New Zealand)
* Baker AJ, Pereira SL, Haddrath OP, Edge KA (2006). "Multiple gene evidence for expansion of extant penguins out of Antarctica due to global cooling". Proc Biol Sci. 273 (1582): 11–17.