Novel predator–prey interactions can contribute to the invasion success of non‐native predators. For example, native prey can fail to recognize and avoid non‐native predators due to a lack of co‐evolutionary history and cue dissimilarity with native predators. This might result in a competitive advantage for non‐native predators. Numerous lady beetle species were globally redistributed as biological control agents against aphids, resulting in novel predator–prey interactions. Here, we investigated the strength of avoidance behavior of the pea aphid (Acyrthosiphon pisum) toward chemical cues of native lady beetles and non‐native Asian Harmonia axyridis and European Coccinella septempunctata and Hippodamia variegata in North America, hypothesizing that cues of non‐native lady beetles induce weaker avoidance behavior than cues of co‐evolved native lady beetles. Additionally, we compared aphid consumption of lady beetles, examining potential predation advantages of non‐native lady beetles. Finally, we compared cue avoidance behavior between North American and European pea aphid populations and aphid consumption of native and non‐native lady beetles in North America and Europe. In North America, pea aphids avoided chemical cues of all ladybeetle species tested, regardless of their origin. In contrast to pea aphids in North America, European pea aphids did not avoid cues of the non‐native H. axyridis. The non‐native H. axyridis and C. septempunctata were among the largest and most voracious lady beetle species tested, on both continents. Consequently, in North America non‐native lady beetle species might have a competitive advantage on shared food resources due to their relatively large body size, compared to several native American lady beetle species. In Europe, however, non‐native H. axyridis might benefit from missing aphid cue avoidance as well as a large body size. The co‐evolutionary time gap between the European and North American invasion of H. axyridis likely explains the intercontinental differences in cue avoidance behavior and might indicate evolution in aphids toward non‐native predators.