The use of exotic species for pest biocontrol has been a common pathway for introduction and dispersal of invasive species that may have undesired outcomes. Biocontrol agents are believed to be a less damaging alternative than pesticides, but some species may also prey on or parasitize native species or outcompete them for resources. The harlequin ladybird (Harmonia axyridis) is a well-known biocontrol agent originally from Asia that has established invasive populations in 59 countries around the globe. Harlequin ladybirds are generalist predators that in addition to pests prey on an array of different species including other coccinelids’ eggs and larvae. In Mexico, native ladybirds that share ecological requirements with harlequin ladybirds are at risk of being outcompeted and predated upon. The aim of our study was to compare the foraging efficiency of harlequin ladybirds against three species of native coccinelids when preying on aphids. We investigated the foraging behaviour of ladybirds alone and in pairs with a conspecific, a native heterospecific or an exotic heterospecific. We found that the native Cycloneda sanguinea was the species that consumed the most aphids, while Hippodamia convergens was the fastest to find and consume each aphid. Harlequin ladybirds and H. convergens consumed the same number of aphids while P. vittigera consumed less. Conspecific competition was stronger than heterospecific competition. We discuss the suitability of using the exotic invasive harlequin ladybird for aphid biocontrol in comparison with native coccinelids.