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The Blue Jay is a bird that appears around the Madsen household.
Episode One - "Chrysalis"
The bird tries to fly into Joyce and David's bedroom through a window and hits a closed window pane where it dies. Max can rewind to save it by opening the window where the bird will fly inside and perch on top of a wardrobe.
If Max saves the bird from killing itself, Max will later encounter the bird along the path leading to the lighthouse where Max may take an optional photo.
Episode Three - "Chaos Theory"
The bird is seen on a perch in the bathroom. Max can look at the bird.
Episode Four - "Dark Room"
When you arrive back in present time, you will be given the option to leave Chloe's bedroom, to head back to the garage. Instead, stay on the upper level and open the window. Go to the bathroom now, and scare the bird atop the shower. It will fly into the hallway and onto a book shelf. Scare the bird one more time, and it will fly out the window.
Symbolism
It's possible that Blue Jay is Rachel's spirit animal.
Gallery
References