Wild-caught animals are often given a settling in period before experimental trials are initiated. We used wild-caught chaffinches (Fringilla coelebs) to investigate (a) the effect of settling in period duration on the likelihood that chaffinches foraged during experimental trials and (b) whether settling in period duration influenced measures of foraging and vigilance behaviour recorded from those experiments. The probability of collecting foraging data from an individual's first trial fell below 50% if it had been in captivity for more than 12 days prior to that trial, whereas the probability was >75% if trials were completed within two days of capture. The successful collection of foraging data from subsequent trials was also dependent on the number of days an individual spent in captivity prior to its first trial and on whether that individual foraged in its first trial, suggesting that some individuals were more inclined to forage in captivity. Individuals that foraged in their first trial had a 94% higher success rate in subsequent trials than those that did not. However, settling in period duration did not significantly influence the peck rate, mean search period or mean vigilance period of individuals that did forage. Our results show that allowing a settling in period actually reduced the likelihood of collecting foraging data from chaffinches and that commencing experiments shortly after capture increased data collection efficiency. We discuss the possibility that the inability to collect data from certain birds following a settling in period could lead to potentially important biases in results, particularly if propensity to forage is linked to an individual's coping strategy or personality. We conclude that it may not always be beneficial to allow wild-caught animals to habituate to captivity before commencing experiments. In some cases, testing animals soon after capture may increase the likelihood of data collection, reducing both the number of study animals required and the length of time they spend in captivity.