This study examined the effects of exposure to coloured LED lights on some behavioural responses, food and water consumption, and live weight in budgerigars kept in captivity using behavioural tests to compare different lighting conditions. Budgerigars’ feeding, comfort, social, fear, and resting behaviours and behavioural reactions to a new environment were studied. Twelve male birds were assigned to four groups, with three birds in each group. They were provided with food and water ad libitum in wire cages at 25 ± 2°C in a room. The study was conducted with 10 h of natural light, 6 h of LED light (white, blue, yellow, and red LED lights), and 8 h of darkness. Their behaviours in the cages were observed. Home cage avoidance (HCA) and two open field tests (OFT) were performed. No difference was observed in the LW and food consumption, but the blue and yellow groups consumed less water. The blue group displayed more comfort and social behaviours. In the HCA test, the red group demonstrated higher reactions. Furthermore, the birds in the yellow group stayed closer to the centre of the platform in the OFT I test, and they chose the compartment simulating their familiar environment in the OFT II test. Consequently, it was concluded that first yellow and then blue lights may be used to prevent stress-related problems for these birds. Our findings could be used to improve the hand-rearing conditions of captive budgerigars.