While the campaign aims to position the show as mischievous and naughty, it also seeks to demonstrate how much Penk's style has matured since his first stint on Capital, in which he specialised in winding up people over the phone.
The campaign comprises two different executions, which will run on six-sheets and the sides of buses from 18 November.
The creative, which is in the same style as 95.8 Capital FM's television campaign, features a cartoon drawing of Penk complete with devil horns.
This is accompanied by the straplines "Mischief around midnight" and "Darkness has a new prince".
The Steve Penk Show is the newest addition to the Capital FM Network.
Penk returned to Capital in the summer after his brief stint as Chris Evans' replacement at Virgin Radio ended suddenly in January.
Kelsie Offord, the head of strategic marketing for the Capital FM Network, said: "The Steve Penk Show is a new show for the Capital FM network. The show is cheeky, interactive and genuinely entertaining, and the campaign is intended to drive audiences to the show by reflecting Steve Penk's mischievous personality through the advertising."
The campaign will run in the total survey areas of 95.8 Capital FM in London, Power in Hampshire, BRMB in Birmingham and Red Dragon in South Wales.
It was written by Richard J Warren and art directed by John Sutcliffe, with media buying and planning by Zenith Media.