The expression of filaggrin and its stepwise proteolytic degradation are critical events in the terminal differentiation of epidermal keratinocytes and in the formation of the skin barrier to the environment. Here, we investigated whether the evolutionary transition from a terrestrial to a fully aquatic lifestyle of cetaceans, that is dolphins and whales, has been associated with changes in genes encoding filaggrin and proteins involved in the processing of filaggrin. We used comparative genomics, PCRs and re‐sequencing of gene segments to screen for the presence and integrity of genes coding for filaggrin and proteases implicated in the maturation of (pro)filaggrin. Filaggrin has been conserved in dolphins (bottlenose dolphin, orca and baiji) but has been lost in whales (sperm whale and minke whale). All other S100 fused‐type genes have been lost in cetaceans. Among filaggrin‐processing proteases, aspartic peptidase retroviral‐like 1 (ASPRV1), also known as saspase, has been conserved, whereas caspase‐14 has been lost in all cetaceans investigated. In conclusion, our results suggest that filaggrin is dispensable for the acquisition of fully aquatic lifestyles of whales, whereas it appears to confer an evolutionary advantage to dolphins. The discordant evolution of filaggrin, saspase and caspase‐14 in cetaceans indicates that the biological roles of these proteins are not strictly interdependent.