1. Linking the movement and behaviour of animals to their environment is a central problem in ecology. Through the use of electronic tagging and tracking (ETT), collection of in situ data from free-roaming animals is now commonplace, yet statistical approaches enabling direct relation of movement observations to environmental conditions are still in development. 2. In this study, we examine the hidden Markov model (HMM) for behavioural analysis of tracking data. HMMs allow for prediction of latent behavioural states while directly accounting for the serial dependence prevalent in ETT data. Updating the probability of behavioural switches with tag or remote-sensing data provides a statistical method that links environmental data to behaviour in a direct and integrated manner. 3. It is important to assess the reliability of state categorization over the range of time-series lengths typically collected from field instruments and when movement behaviours are similar between movement states. Simulation with varying lengths of times series data and contrast between average movements within each state was used to test the HMMs ability to estimate movement parameters. 4. To demonstrate the methods in a realistic setting, the HMMs were used to categorize resident and migratory phases and the relationship between movement behaviour and ocean temperature using electronic tagging data from southern bluefin tuna (Thunnus maccoyii). Diagnostic tools to evaluate the suitability of different models and inferential methods for investigating differences in behaviour between individuals are also demonstrated.