Modern models for the evolution of conspicuous male mating displays assume that males with conspicuous displays must bear the cost of enhanced predation risk. However, if males can compensate behaviourally for their increased conspicuousness by acting more cautiously towards predators, they may be able to lower this cost. In the field cricket Gryllus integer, males call to attract females, and differ in their durations of uninterrupted trilling (calling–bout lengths). Differences among males in calling–bout lengths are heritable, and females prefer males with longer calling bouts. In this study, males with longer, more conspicuous songs behaved more cautiously than males with shorter songs on two different tests of predator avoidance. They took longer to emerge from a safe shelter within a novel, potentially dangerous environment, and they ceased calling for a longer time when their calls were interrupted by a predator cue. Thus, these males appear to compensate behaviourally for their more conspicuous mating displays. Additionally, latencies to emerge from a shelter in the novel environment were consistent over time for both individual males from the field and males that had been reared in the laboratory, indicating that the differences in latency among males may be heritable.