Animal behaviour can moderate biological invasion processes, and the native fauna's ability to adapt. The importance and nature of behavioural traits favouring colonization success remain debated. We investigated behavioural responses associated with risk-taking and exploration, both in non-native bank voles (
Myodes glareolus
,
N
= 225) accidentally introduced to Ireland a century ago, and in native wood mice (
Apodemus sylvaticus
,
N
= 189), that decline in numbers with vole expansion. We repeatedly sampled behavioural responses in three colonization zones: established bank vole populations for greater than 80 years (2 sites), expansion edge vole populations present for 1–4 years (4) and pre-arrival (2). All zones were occupied by wood mice. Individuals of both species varied consistently in risk-taking and exploration. Mice had not adjusted their behaviour to the presence of non-native voles, as it did not differ between the zones. Male voles at the expansion edge were initially more risk-averse but habituated faster to repeated testing, compared to voles in the established population. Results thus indicate spatial sorting for risk-taking propensity along the expansion edge in the dispersing sex. In non-native prey species the ability to develop risk-averse phenotypes may thus represent a fundamental component for range expansions.