The ability to detect and respond to the presence of predation risk is under intense selection, especially for small‐bodied fishes. Damselfishes (Pomacentridae) use auditory vocalizations during inter‐ and intrasexual interactions, but it is not known if they can use vocalizations in the context of predator–prey interactions. Here, we test if yellowtail damselfish, Chrysiptera parasema, can learn to associate the territorial vocalization of heterospecific humbug damselfish Dascyllus aruanus with predation risk. In conditioning trials yellowtail damselfish were presented with the territorial call of humbug damselfish while either blank water (control treatment) or chemical alarm cue derived from damaged skin of conspecific yellowtail damselfish was introduced. In conditioning trials, fish exposed to alarm cue exhibited increased activity and spent more time in the water column relative to fish that received the control treatment. After a single conditioning trial, conditioned fish were exposed again to the territorial call of humbug damselfish. Fish conditioned with the call + alarm cue showed increased activity and spent more time in the water column relative to fish that had been conditioned with the control treatment. These data indicate associative learning of an auditory stimulus with predation risk in a species that regularly uses auditory signalling in other contexts. Recordings of conditioning and test trials failed to detect any acoustic calls produced by test fish in response to the perception of predation risk. Thus, although yellowtail damselfish can associate risk with auditory stimuli, we found no evidence that they produce an alarm call.