Bottlenose dolphins are, with human and a few species of birds, amongst the rare species that have been shown to use spontaneously individual-specific labels that signal individual identity to group members. It has even been proposed that they are able to “name” social partners. Human trainers do address dolphins individually using learned gesture signals, but to our knowledge, there have been no trials to generate learned individual sound labels on cetaceans. One reason may be that dolphins are thought to perceive only underwater sounds. In the present study, we measured the behavioural response of 7 individuals to 7 individual learned sound labels, broadcasted first underwater, and then in the air. Movements and gazes, as well as their directions, were observed within 10 seconds of each test. The individuals clearly discriminated their own label by moving immediately towards the sound source in 90% of trials when hearing it in water. In air, they gazed more at it but did not move to the sound source. We hypothesize that they may have been surprised by the sound modifications induced by air or by the situation, but nevertheless recognized their “name”. This study evidences for the first time the ability of bottlenose dolphins to recognize a human-made individual sound label played underwater and transposed to aerial environment. The results constitutes a further evidence of the ability of dolphins to associate sound labels with individual identity (“names”) and that they would have some concept of own identity.