In this study, the improved Aesop’s fable paradigm—a series of experiments originally used to test whether some animals understand the causality associated with water replacement—was used to explore the cognitive ability of Azure-winged magpies (Cyanopica cyanus). Experimental results on causal cue tasks showed that the Azure-winged magpies prefer water-filled tubes over sand-filled tubes, heavy objects over light objects, and solid objects over hollow objects. However, they failed to notice the diameter and water level of the tubes. They also failed to pass the counterintuitive U-shaped tube task in arbitrary cue tasks. Our results demonstrated that Azure-winged magpies have a certain cognitive ability but not an understanding of causality, a characteristic comparable to that of other corvids. Moreover, Azure-winged magpies exhibited the ability of training transfer and analogical problem solving from the perspective of cognitive psychology. We believe that object-bias has little effect on Azure-winged magpies in this study. We can conclude that the Azure-winged magpies partially completed the tasks by trial-and-error learning.