Lady beetles (Coleoptera: Coccinellidae) are important biocontrol agents that are considered generalist predators, although some tribes, such as Scymnini, are specialized in predation of sucking pests, such as mealybugs, aphids, and whiteflies. However, prey preference or pre‐imaginal conditioning may occur as coccinellids are subjected to large‐scale rearing. Thus, predator–prey interaction may be an outcome of conditioning to prey stimuli. To evaluate possible pre‐imaginal conditioning, population lines were created for the lady beetles Cryptolaemus montrouzieri Mulsant and Tenuisvalvae notata (Mulsant), each fed for at least eight generations the mealybugs Ferrisia dasylirii (Cockrell) or Planococcus citri Risso (Hemiptera: Pseudococcidae). Next, the behavioral response of these coccinellids was measured in arenas treated with prey volatiles or footprints, regarding walking time, walking speed, walking distance, and residence time. Finally, food preference between prey species was measured in laboratory and semi‐field conditions on infested cotton plants. Conditioned coccinellids responded similarly to volatiles released by either prey species offered. Furthermore, there were no changes in predator behavior towards footprints of either prey species. Both predator species consumed more P. citri in all tests, regardless of rearing prey indicating no pre‐imaginal conditioning. These results suggest that rearing prey may not affect the predator behavior, and both coccinellid species are effective in the biological control of mealybugs.