"The Red Squirrel" is the first episode of Season 2 from The Penguins of Madagascar.
While creating their fifteenth escape tunnel, the four zoo penguins stumble upon the bunker of a rockhopper penguin named Buck Rockgut, who claims to have been down there for 47-years and who Skipper, Kowalski and Rico idolize for being "America's greatest penguin hero" but Private has never heard of until now. One of Rockgut's exploits includes capturing "Penguin enemy #1," the Red Squirrel, who Rockgut claims is still alive and has escaped. Rockgut recruits the four penguins to help him recapture the Red Squirrel, which Skipper, Kowalski and Rico readily agree too but Private seems a little hesitant. Rockgut quickly starts accusing all the animals in the zoo of working for the Red Squirrel, with the penguins (minus Private) siding with Rockgut.
The imprisoned animals team up with Private, the only penguin who knows that Rockgut has taken the situation too far. Private uses Fred to pretend to be the Red Squirrel as a decoy to get rid of Rockgut, but his plan fails when Rockgut, Skipper, Kowalski, and Rico catch him in the act of releasing Fred. Private explains why he did it, pointing out that Rockgut's "completely mental." At first, the other penguins start to accuse Private of working for the Red Squirrel, but then Rockgut accuses Private of actually being the Red Squirrel (having gotten plastic surgery to make himself look like a penguin). This confuses the other penguins, and when Kowalski notes that it's technically impossible for Private to actually be the Red Squirrel, Rockgut then accuses Kowalski of being the Red Squirrel (feeling he had the right idea but had the wrong penguin). The other three penguins realize that Private was right all along about Rockgut, so Rico regurgitates a telephone and Skipper pretends to talk to a penguin from top headquarters, who tells Skipper to tell Rockgut that the Red Squirrel is hiding out in a place called "Grrfrrjicklestan," which Rockgut believes and finally leaves. Skipper, Kowalski and Rico apologize to Private for not believing him about Rockgut and taking the situation too far, which Private accepts.
Private then admits that, despite everything that happened, he feels bad for Rockgut--his reasoning being that Rockgut's wasted so many years (nearly five decades) chasing after a threat that probably doesn't even exist (at least not anymore). After sliding away on their bellies, the Red Squirrel's then revealed to be real--and still around, as he was hiding underground and spying on the penguins, finally happy that Rockgut has finally been disposed of.