Adaptation to urban habitats presumably requires changes in cognitive, behavioral, and physiological traits enabling individuals to exploit new resources. It is predicted that boldness, reduced neophobia, and enhanced problem-solving and learning skills might characterize urban birds compared with their rural conspecifics, while exposure to novel pathogens might require an enhanced immunity. To test these predictions, we assessed problem solving, color discrimination learning, boldness, neophobia, and immunocompetence in the bullfinch Loxigilla barbadensis, a highly opportunistic and innovative endemic bird in Barbados, wild-caught from a range of differently urbanized sites. Birds from urbanized areas were better at problem solving than their rural counterparts, but did not differ in color discrimination learning. They were also bolder but, surprisingly, more neophobic than rural birds. Urban birds also had an enhanced immunocompetence, measured with the phytohemagglutinin antigen. Our study sheds light on the trade-offs acting on animals exposed to changing environments, particularly in the context of urbanization.