Summary Eukaryotic molecular diversity within the picoplanktonic size‐fraction has primarily been studied in marine surface waters. Here, the vertical distribution of picoeukaryotic diversity was investigated in the Sargasso Sea from euphotic to abyssal waters, using size‐fractionated samples (< 2 μm). 18S rRNA gene clone libraries were used to generate sequences from euphotic zone samples (deep chlorophyll maximum to the surface); the permanent thermocline (500 m); and the pelagic deep‐sea (3000 m). Euphotic zone and deep‐sea data contrasted strongly, the former displaying greater diversity at the first‐rank taxon level, based on 232 nearly full‐length sequences. Deep‐sea sequences belonged almost exclusively to the Alveolata and Radiolaria, while surface samples also contained known and putative photosynthetic groups, such as unique Chlorarachniophyta and Chrysophyceae sequences. Phylogenetic analyses placed most Alveolata and Stramenopile sequences within previously reported ‘environmental’ clades, i.e. clades within the N ovel A lveolate groups I and II (NAI and NAII), or the novel Ma rine St ramenopiles (MAST). However, some deep‐sea NAII formed distinct, bootstrap supported clades. Stramenopiles were recovered from the euphotic zone only, although many MAST are reportedly heterotrophic, making the observed distribution a point for further investigation. An unexpectedly high proportion of radiolarian sequences were recovered. From these, five environmental radiolarian clades, RAD‐I to RAD‐V, were identified. RAD‐IV and RAD‐V were composed of Taxopodida‐like sequences, with the former solely containing Sargasso Sea sequences, although from all depth zones sampled. Our findings highlight the vast diversity of these protists, most of which remain uncultured and of unknown ecological function.