Birds need to respond to weather changes quickly and appropriately for their own well-being and survival. The inability to respond appropriately to heat waves can be fatal to individual birds and can translate into large-scale mortality events. We investigated corticosterone (CORT) and heterophil∶lymphocyte (H∶L) ratio responses of budgerigars (Melopsittacus undulatus), zebra finches (Taeniopygia guttata), and diamond doves (Geopelia cuneata) to heat exposures. The birds were exposed to a temperature similar to what they experience during a typical summer day (35°C) and a higher temperature (45°C) similar to that experienced during a heat wave. There were no significant increases between the CORT concentrations before and after heat exposure in zebra finches and budgerigars at 35° and 45°C, but there was a significant increase in CORT concentrations in diamond doves after exposure to 45°C. The H∶L ratios increased significantly after heat exposure in budgerigars at 35° and 45°C and in diamond doves at 35°C. No significant correlation was found between the changes in CORT and H∶L ratios. The data suggest that there are species differences in birds' stress responses to heat exposure that may reflect their ability to detect and adapt to high temperatures. There appear to be differences between the two types of stress measurements, which may reflect differences in the timescales of these responses.