Underwater footage reveals that the creatures scoop up halved coconut shells before scampering away with them so they can later use them as shelters.
Writing in the journal Current Biology, the team says it is the first example of tool use in octopuses.
One of the researchers, Dr Julian Finn from Australia’s Museum Victoria, told BBC News: “I almost drowned laughing when I saw this the first time.”
He added: “I could tell it was going to do something, but I didn’t expect this – I didn’t expect it would pick up the shell and run away with it.”
(Thanks Cat Vincent)