Different hypotheses exist to explain the ability of individuals or species to modify their behaviours in response to the urban environment. Our study addresses risk-taking in urban birds as an essential behavioural change in cities allowing the species to manage living in anthropic habitats. Specifically, we tested role of phylogeny and the environment on risk-taking, expressed in lower escape distances. We adopted a comparative approach and compared the flight distance of urban pigeons and urban crows in Paris with rural wild rock doves and crows in Sardinia, thus contrasting environmental conditions (urban or rural), species (columbids vs. corvids) and type (feral or wild). Pigeons had lower flight distance than crows in both rural and urban environments, and rural individuals of both species had higher flight distance than urban individuals. However, this intraspecific difference was higher in pigeons than in crows, and the interspecific difference was higher in urban than in rural areas. Our study shows that risk-taking in birds is the outcome of a complex interplay between several environmental and phylogenetic factors, and confirms the hypothesis of increased risk-taking in urban pigeons as a result of a pre-adaptation due to artificial selection, as often suggested but never scientifically demonstrated.