The sunk cost effect involves the bias to stay with an alternative because one has already invested resources, even when there is a better alternative available. In a series of experiments, at various points during a 30-peck requirement, pigeons (Columba livia) could choose between completing the response requirement (at a different location in Experiment 1 or the same location in Experiments 3 and 4) and switching to a constant number of pecks. In three experiments, the pigeons showed a bias to complete the pecks already started, even when that required more pecking. We also demonstrated that the bias depended on the initial investment and was not produced merely because the pigeons preferred a variable alternative over a fixed alternative. The deviation from optimal choice suggests that pigeons show a bias similar to the sunk cost effect in humans.