The alarm calls of some birds are functionally referential and may provide nestlings with information about the threat posed by potential predators. However, few investigators have examined the responses of nestlings in cavity nests to the anti-predator vocalizations of adults. Our objectives were to examine (1) the vocal responses of cavity-nesting adult Eastern Bluebirds (Sialia sialis) to different predators, and (2) the behavioral responses of nestlings to those vocalizations. From April–July 2013, pairs of Eastern Bluebirds were exposed to mounts or models of four potential nest predators, including a raccoon (Procyon lotor), eastern chipmunk (Tamias striatus), American Kestrel (Falco sparverius), and black rat snake (Pantherophis obsoletus), plus a control (Mourning Dove, Zenaida macroura). During 3-min trials, mounts or models were placed adjacent to nest boxes with 12–19-day-old nestlings. Adult vocalizations were recorded and the behavior of nestlings simultaneously recorded with a camcorder. Adult bluebirds (n = 27 pairs) uttered longer-duration alarm and chatter calls at significantly higher rates in response to the raccoon, and nestlings responded more often (23 of 39 trials [59%], excluding nine control trials) when adult bluebirds uttered chatter and alarm calls at higher rates. Nestling responses included crouching (21 trials), climbing the walls of the nest box (one trial), and fledging (one trial). Crouching may reduce the risk of predation by large predators unable to enter a nest cavity, but able to reach into it. In contrast, premature fledging when a predator is nearby would likely increase the risk of mortality. Adult Eastern Bluebirds do not produce predator-specific vocalizations, but call characteristics and call rates appear to provide nestlings with information about the presence of potential predators.