Risk-sensitive learning is a winning strategy for leading an urban invasion.

In the unpredictable Anthropocene, a particularly pressing open question is how certain species invade urban environments. Sex-biased dispersal and learning arguably influence movement ecology, but their joint influence remains unexplored empirically, and might vary by space and time. We assayed reinforcement learning in wild-caught, temporarily captive core-, middle-, or edge-range great-tailed grackles-a bird species undergoing urban-tracking rapid range expansion, led by dispersing males. We show, across populations, both sexes initially perform similarly when learning stimulus-reward pairings, but, when reward contingencies reverse, male-versus female-grackles finish 'relearning' faster, making fewer choice-option switches. How do male grackles do this? Bayesian cognitive modelling revealed male grackles' choice behaviour is governed more strongly by the 'weight' of relative differences in recent foraging payoffs-i.e., they show more pronounced risk-sensitive learning. Confirming this mechanism, agent-based forward simulations of reinforcement learning-where we simulate 'birds' based on empirical estimates of our grackles' reinforcement learning-replicate our sex-difference behavioural data. Finally, evolutionary modelling revealed natural selection should favour risk-sensitive learning in hypothesised urban-like environments: stable but stochastic settings. Together, these results imply risk-sensitive learning is a winning strategy for urban-invasion leaders, underscoring the potential for life history and cognition to shape invasion success in human-modified environments.