Parents may experience a trade‐off between caring for offspring and protecting themselves from predators. The reproductive value hypothesis predicts that parents should take more risks for older, more valuable offspring, whereas the harm to offspring hypothesis predicts that parents should risk more for vulnerable offspring that would suffer most from a lack of parental care at the moment. After exposing parent mountain bluebirds (Sialia, currucoides) to a model predator, we recorded latency times for them to touch, to look into, and to enter their nestbox and the number of times they inspected the box across three breeding stages: nest‐building, incubation and nestling‐rearing. Females took greater risks than males during the nest‐building and incubation stages by inspecting and entering boxes sooner and more times, consistent with their role in parental care at those early breeding stages that requires them to enter the box. Risk‐taking in males was consistent with the reproductive value hypothesis, increasing across breeding stages. In contrast, females took the greatest risk during incubation, consistent with the harm to offspring hypothesis. Furthermore, the riskiest behaviours were not correlated between pair members, and both sexes assumed the risk to first inspect the nestbox approximately equally. This suggests there is not a ‘war of attrition’ between mates over risk‐taking, but neither was there cooperation by the male to facilitate the rapid resumption of parental care by his mate. The results highlight that patterns of investment in nest defense in birds may be sex‐specific.