Social learning is often assumed to help young animals respond appropriately to potential threats in the environment. We brought wild, juvenile jackdaws briefly into captivity to test whether short exposures to conspecific vocalisations are sufficient to promote anti-predator learning. Individuals were presented with one of two models – a stuffed fox representing a genuine threat, or a toy elephant simulating a novel predator. Following an initial baseline presentation, juveniles were trained by pairing models with either adult mobbing calls, indicating danger, or contact calls suggesting no danger. In a final test phase with no playbacks, birds appeared to have habituated to the elephant, regardless of training, but responses to the fox remained high throughout, suggesting juveniles already recognised it as a predator before the experiment began. Training with mobbing calls did seem to generate elevated escape responses, but this was likely to be a carry-over effect of the playback in the previous trial. Overall, we found little evidence for social learning. Instead, individuals’ responses were mainly driven by their level of agitation immediately preceding each presentation. These results highlight the importance of accounting for agitation in studies of anti-predator learning, and whenever animals are held in captivity for short periods.