Now you might not be able to exercise a bird like a dog, but there are some simple things you can do to get your bird more active.
1. Many birds love ladders. If you don't have one in your cage, get one you will soon see your bird climbing up and down. And if you already have a ladder and the cage is large enough get another one. You might see your bird going up one and down the other. I know my cockatoo did and he had free flight of the house.
2. Another thing I would always do is provide new toys for him to play with every few weeks and rotate the supply I had. Being my bird was free flight I was worried that she may get into mischief, but the only mischief she got into was a potted plant and that was if I was on the phone talking to a girl. Trust me she (the bird) knew and she was jealous.
3. Strings or braided rope was one of her favorites as well as she would just sit there and pull every last thread from that rope.
4. Swings is a passtime as well for the bird to rock the day away.
5. I would even let her work for her food by putting fruits and veggies in an empty paper towel or toilet paper roll. I would then fold over the sides any which way and then just let her rip it apart as she knew there was food inside.
6. Another great activity is to provide different scenery for them. If their wings are clipped, bring them for a walk outside around the neighborhood. I have even seen here in South Beach owners taking their birds for leisurely bike rides on the handle bars. Now, me personally would be worried about the bird falling off and getting run over or caught in the spokes or gears. But amazingly the birds I see have a good grasp and hold on very well.
The more I provided activities for her the more she grew closer. She would do her little exercises and activities and when finish would come flying downstairs and literally lay on a pillow with me watching tv.