Bryde's whales are among the lesser known balaenopterids found in Brazilian waters, as well as globally. At the beginning of this project, only occasional sightings of this species were identified off the coast of São Paulo State. In this paper, we present the results of our investigations into the occurrence and behaviour of Bryde's whales along the São Paulo coast, both inside and outside the Marine State Park of Laje de Santos, as a contribution to biological and behavioural knowledge of Bryde's whales under the conservation scope. Sighting surveys were conducted from January 2003 to July 2005 in coastal and oceanic areas. During the survey, 42 sightings were made, totalling 71 individuals, between the isobaths of 20 and 3000 m. Sightings and individual rates were higher in coastal areas during the summer season. Different kinds of behaviour were observed in coastal and oceanic areas. At the 1200 m isobath, notable social interactions were observed in which four adult individuals performed breaching – the first report of this behavioural pattern for Brazil. Results suggest that Bryde's whales possibly use coastal areas for feeding and may migrate to oceanic areas for breeding, thus providing important aspects that must be considered for the proper management of Marine Protected Areas and for oceanic areas, especially considering the intensive and continuous increase of oil and gas exploitation activities in those areas. Data reported here, therefore, constitute a significant contribution in Bryde's whale research and to cetacean conservation efforts in Brazil.