Alfaxalone is a neurosteroid anesthetic agent that has been extensively used in both human and veterinary medicine for more than 50 yr. Previous studies involving avian species demonstrated various dose ranges and multiple routes of administration. The aim of this study was to evaluate the short-term sedative, cardiorespiratory, and thermoregulatory effects of an intramuscular injection of alfaxalone on budgerigars (Melopsittacus undulatus). A crossover study was performed with a sample size of 10 male budgerigars, previously determined to be healthy based on physical examination. Alfaxalone was administered intramuscularly at two doses: 15 and 20 mg/kg. The lower dose resulted in mild to moderate sedation for 29 ± 5 min, whereas the higher dose resulted in moderate to profound sedation for 29 ± 7 min. A statistically significant decrease in heart rate was observed 2 min after administration of alfaxalone at 15 mg/kg; however, this finding was noted to be transient. A statistically significant decrease in respiratory rate was observed at 6 and 10 min after injection in both groups. Cloacal temperature measurement with a digital thermometer and eye temperature calculated from thermographic images demonstrated a decrease in body temperature over time but was not found to be statistically significant. Intramuscular use of alfaxalone proved to provide short-term sedation in budgerigars, with statistically significant but clinically mild cardiorespiratory effects. Due to a significant decrease in body temperature, active warming is recommended when using alfaxalone in budgerigars.