[JordanLfc]

He doesn't do it when he is in cage but he does it when he is out and I ask him to step up onto perch
He also won't step up onto my finger yet
Was just wondering if the panting is becuase he is scared

 

[aluz]

Yes, budgies do pant when they get scared or are in a stressful situation.
Since your budgie is new, it's best to let him settle down a bit more before starting a more hands-on training.


EDIT: I forgot to mention that budgies also pant when feeling hot/thirsty and this is usually accompanied by their wings arching away from their bodies.