Bird feathers get most of their warm colours from pigments: melanins for black, grey and brown, carotenoids from the diet for red, orange and yellow. Blue is different. Vertebrates have no widespread blue pigment, so blue birds build the colour structurally.
Inside each barb of a blue jay feather is a spongy keratin matrix riddled with air cavities of consistent size and spacing. Light entering this layer is scattered coherently, with short wavelengths reinforcing and longer ones passing through to be absorbed by a dark melanin layer beneath. The result is blue that comes from geometry rather than chemistry. Crushing the barb destroys the spacing, so the structure fails and only the underlying melanin brown remains.
The common explanation that this is the Tyndall effect, simple scattering by particles, is outdated. Measurements of the nanostructure show ordered, quasi-periodic spacing producing coherent scattering, which is why the blue does not shift dramatically with viewing angle the way iridescent structural colour does.