We describe the first known instance of Black-billed Magpies (Pica hudsonia) nesting in a fully enclosed, pre-formed cavity. Magpies built an undomed nest of sticks in a nest box designed for Wood Ducks (Aix sponsa) near Olds, Alberta, Canada, in 2008. All nesting material was removed from the box after an apparently successful nesting attempt. Magpies built a new nest in the box and fledged at least four young in 2009. These observations indicate that cavity nesting is a distinct, novel behavioral trait that can arise in this species. We describe several potential costs of cavity nesting in this species, which may explain in part why this trait has not become established in any of the many studied magpie populations around the world.