In the last decade, the whale shark, which occurs in the Gulf of California, has become an important touristic attraction. However, there is still no program of protection and management for this shark in the Mexican waters because the lack of biological information. The present study concerns an aspect of the biology of the whale shark in the bay of La Paz: its feeding habits, analyzed by the identification and quantification of its preferred preys. Several planktonic surveys were carried out in 2001 and 2002 in areas where aggregations of whale sharks are known. High planktonic concentrations were observed in these areas. The samples were mainly composed of copepods, representing 12 genera; the most abundant ones being Acartia, Undinula and Corycaeus. In the bay of La Paz, the whale shark feeds mainly on these copepods.