Pigments determine the appearance of organisms. However, pigment production can be associated to physiological constraints as in the case of pheomelanin, the sulphurated form of melanin whose synthesis in melanocytes consumes cysteine and consequently reduces the availability of glutathione (GSH) to exert antioxidant protection. Pheomelanogenesis may thus increase the susceptibility to suffer chronic oxidative stress. I investigated the possibility that environmental lability in the expression of genes regulating pheomelanogenesis protects from oxidative stress, a situation in which GSH is most required. By broadcasting adult alarm calls, I manipulated the perception of predation risk, a natural source of oxidative stress, in free-living Eurasian nuthatch Sitta europaea nestlings developing pheomelanin-pigmented flank feathers. The manipulation affected the consumption of GSH that resulted from the expression of two genes (Slc7a11 and Slc45a2) influencing cysteine/GSH availability in cells, as these genes were downregulated in the feather melanocytes of the nestlings with lowest intracellular antioxidant capacity (i.e., lowest GSH levels). Systemic oxidative damage increased with Slc7a11 expression in feather melanocytes, suggesting that the observed downregulation was physiologically advantageous. The nestlings exposed to an increased perception of predation risk developed flank feathers of reduced color intensity. These results indicate that perceived predation risk can determine the pigmentation phenotype by (probably epigenetic) effects on gene expression that protect from physiological constraints imposed by pheomelanin production.