After intense physical activity animals generally experience a rise in metabolic rate, which is associated with a proliferation of pro-oxidants. If unchecked, these pro-oxidants can cause damage to DNA and peroxidation of lipids in cell walls. Two factors are thought to ameliorate post-exercise oxidative damage, at least in mammals: dietary antioxidants and exercise training. So far it is unknown whether birds benefit similarly from exercise training, although a positive effect of dietary antioxidants on take-off flight has been indicated. In this experiment, we maintained captive wildtype budgerigars Melopsittacus undulatus on enhanced (EQ) or reduced quality (RQ) diets differing in levels of the dietary antioxidants retinol, vitamin C and alpha-tocopherol for 12 months. Birds were then regularly trained to perform take-off escape flights, a strenuous and biologically relevant form of exercise. For these adult budgerigars, regular exercise training improved escape flight performance, particularly in males on the EQ diet. In terms of oxidative damage, post-exercise levels of malondialdehyde (MDA), a by-product of lipid peroxidation, were significantly decreased after 9 weeks of flight training than after a single exercise session. Thus, individuals achieved faster escape flights with lower oxidative damage, after training. Also, birds that were fatter for their skeletal size initially had higher post-exercise MDA levels than thinner birds, but this relationship was broken by 9 weeks of flight training. Interestingly, there was no impact of diet quality on levels of MDA, suggesting that improved protection against oxidative damage for all birds was due to an up-regulation of endogenous antioxidant systems. Given their diversity, bird species provide rich research opportunities for investigating the interactions between exercise training, pro-oxidants production and antioxidant defences.