According to the “sexual selection hypothesis” (SSH), plumage conspicuousness has evolved through mate choice because it signals the quality of the bearer, and this is an honest signal because it involves a predation cost in terms of increased detectability to predators. Alternatively, according to the “unprofitable prey hypothesis” (UPH), conspicuousness is an aposematic signal indicating higher escape potential. We should expect the animals with higher predation risk (either conspicuous or dull, depending on the hypothesis) to have evolved antipredator behaviors to compensate for their higher predation risk (i.e. the “compensation hypothesis”). We tested these hypotheses by studying the vigilance behavior of wintering Eurasian Siskins (Spinus spinus) foraging on three feeders with different predation-risk and competition levels. Males were, on average, 50% more brightly colored than females. Males and females had similar wing loading, which allows us to reject male unprofitability related to higher takeoff speed. Males had shorter mean interscan durations (which improves predator detection) than females, especially at the high-predation-risk feeder (which males avoided), but the sexes did not differ in foraging-bout length, percentage of time spent scanning, and mean scan duration. In males, length of yellow tail stripe and brightness were positively correlated with percentage of time spent scanning. Therefore, our results on vigilance behavior and wing loading support the compensation hypothesis and the SSH assumption of a predation cost of conspicuousness, whereas they reject the predictions of the UPH. Compensation vigilance and other antipredator behaviors are expected to have also evolved in the conspicuous sex in other dichromatic species, and we predict that a correlation between plumage conspicuousness and vigilance should be found in future comparative studies.