Cal is probably right in saying that he's anxious. Heavy breathing is usually a clear sign of that. He looks generally healthy otherwise, although I only have the general appearance to go by.
To make him more comfortable, again as Cal suggested, spending time just being close to his cage and speaking softly will increase his confidence in you. You can also try partially covering the cage with a towel/dish cloth or something like. Birds in a new environment will seek a high spot for safety, and ideally a corner where they feel secure. A towel can offer that kind of shelter where a bird won't feel so exposed to its new surroundings.
This sounds as though he's anxious about his new surroundings. Try sitting next to the cage and do things such as read aloud next to him; make him more familiar to you and to his new surroundings. If he still doesn't seem comfortable after a week or so, maybe consult a local breeder or pet store.
he's not used to his surroundings. it will take about 2 weeks
I got a baby budgie 3 days ago. I'm worried as he doesn't chirp or move around. He has a nice sized cage, plenty of food and water, and some toys. All he does is sit on one perch for hours on end, he doesn't chirp or move. He also looks like he is panting. Is this normal behavior? The only time he does anything is when I walk past the cage, he prunes his feathers, maybe a nervous reaction? I have no other pets or kids and he is next to a window. Is this normal for a budgie? The pet shop guy said he was nearly 8 weeks old, I have my doubts.
http://i.imgur.com/tblMQmR.jpg
Is something wrong with him? Or does he just need to get used to the environment?