Antioxidants are known to play an important role in quenching reactive oxygen species (ROS), thus ameliorating oxidative stress. Since increased metabolism associated with exercise can increase oxidative stress, dietary antioxidants may be a limiting factor in determining aspects of physical performance. Here we tested whether oxidative stress associated with flight exercise of captive adult budgerigars, Melopsittacus undulatus differed after they received a diet containing either enhanced (EQ) or reduced levels (RQ) of a nutritional supplement (Nutrivit) rich in antioxidants for 4 weeks. We also assessed differences in take-off escape time, a potential fitness-determining physiological capability. Oxidative stress was measured in two ways: comet assay to measure DNA damage; and analysis of malondialdehyde (MDA), a by-product of lipid peroxidation. Flight exercise appeared to increase oxidative stress. Moreover, birds had a higher percentage of intact DNA (fewer alkali labile sites) in one comet measure and lower levels of MDA after an EQ diet than after an RQ diet. We found no difference in flight performance between the two diets. Our results suggested that birds exerted maximum effort in escape flights, regardless of diet. However, this was at a cost of increased oxidative stress post-flight when on a reduced quality diet, but not when on an enhanced, antioxidant-rich diet. We suggest that dietary antioxidants may prove important in reducing exercise-related costs through multiple physiological pathways. Further work is necessary to fully understand the effects of antioxidants and oxidative stress on exercise performance in the longer term.