Almost all pet birds known collectively as “soft bills” (those which are not parrots) consume live insects as part of their natural diets. Insects are especially important during the breeding season – in fact, the sudden availability of insects, either in captivity or the wild, is an important trigger in bringing many species into breeding condition. Insects also form the bulk of the diet of most nestling soft bills. I have long fed insects to a variety of birds commonly found in the pet trade, including canaries, many finches and waxbills, mynas, Peking robins, red-crested cardinals, red bishops and various weavers.
It is standard practice at many zoos to use light traps to collect wild insects for the bird collection. The explosion of interest in keeping reptile pets has resulted in the marketing of a number of products that are of great value to bird keepers as well. I have used Zoo Med’s Bug Napper to trap moths, gnats, beetles and other tasty treats for my birds (be sure you can identify dangerous insects, and those, such as fireflies, which may be toxic). I do not know of any cases of secondary pesticide poisoning, even after decades of trapping at the Bronx Zoo, but urge caution in areas being sprayed to control West Nile Virus.
A number of reptile-oriented companies produce whole, (pre-killed) canned insects and invertebrates, offering bird keepers a very convenient method of adding valuable variety and nutrients to their pets’ diets. I strongly recommend experimentation with the following:
Exo Terra Mealworms, Grasshoppers, Silkworms, Snails
Zoo Med Can O’ Grasshoppers, Caterpillars, Snails
Repto Treat Delica Bloodworms
Of course, live mealworms and crickets, the old stand-bys, are very useful. I’ll address the best ways of keeping and using them in the future. You should also investigate other commercially-bred insects, also generally used for reptiles, such as silkworms, tobacco hornworms, roaches, waxworms, locusts and house flies.
An article examining the nutritional value of commonly used feeder insects is posted at: