I've never given any to my pet bird, but I volunteer at a wildlife rehab. We have an old crow there who's a permanent resident (she's 24 years old, mostly blind, and is way too comfortable with people to be released). We give her whole boiled eggs, shell and all. She's never had any issues with them.
I have read quite a few books that recommend giving egg shells to your pet birds, but something about giving them to my cockatiel just doesn't "sit right" with me, so I don't give them to him. He does love his scrambled eggs, though!
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