According to EnchantedLearning.com, dolphins live in what is known as the euphotic zone, which is sometimes referred to as the sunlit zone — part of the continental shelf that extends down to depths of anywhere from 50 to 660 feet. This zone is so named because it is lit by the sun for at least part of the day.
Most ocean fish live in the euphotic zone, and many of them are counter-shaded, including the dolphin. The top of the animal is dark, so that it blends into dark waters when predators look down from above. Likewise, the dolphin is light on the bottom, so that its body blends into the light when predators look up from below.