Prey and predators continuously react to each other and to their environment, adjusting their behaviour to maximize their fitness. In a pelagic environment, organisms can optimize their fitness by performing diel vertical migrations (DVM). We applied a game theoretic approach to investigate the emergent patterns of optimal habitat selection strategies in a multiple habitat arena. Our set-up allows both players to choose their position at day and at night in the water column. The model reproduces features of vertical migrations observed in nature, including residency at depth or at the surface, vertical migrations, mixed strategies and bimodal distributions within a population. The mixed strategies appear as a consequence of frequency-dependent processes and not of any intra-species difference between individuals. The model also reveals a curious feature, where natural selection on individuals can provoke distinct regime shifts and precipitate an irreversible collapse in fitness. In the case presented here, the increasing voracity of the predator triggers a behavioural shift in the prey reducing the fitness of all members of the predator population.