Cognitive flexibility can enhance the ability to adjust to changing environments. Here, we use learning simulations to investigate the possible advantages of flexible learning in volatile (changing) environments. We compare two established learning mechanisms, one with constant learning rates and one with rates that adjust to volatility. We study an ecologically relevant case of volatility, based on observations of developing cleaner fish Labroides dimidiatus that experience a transition from a simpler to a more complex foraging environment. There are other similar transitions in nature, such as migrating to a new and different habitat. We also examine two traditional approaches to volatile environments in experimental psychology and behavioral ecology: reversal learning, and learning set formation (consisting of a sequence of different discrimination tasks). These provide experimental measures of cognitive flexibility. Concerning transitions to a complex world, we show that both constant and flexible learning rates perform well, losing only a small proportion of available rewards in the period after a transition, but flexible rates perform better than constant rates. For reversal learning, flexible rates improve the performance with each successive reversal because of increasing learning rates, but this does not happen for constant rates. For learning set formation, we find no improvement in performance with successive shifts to new stimuli to discriminate for either flexible or constant learning rates. Flexible learning rates might thus explain increasing performance in reversal learning but not in learning set formation, and this can shed light on the nature of cognitive flexibility in a given system. Animals need to adjust to changes that occur in their environment, such as new food types becoming available or old food types becoming unsuitable. Learning about these changes could be essential for success, in particular, if the environment is complex, with many things to learn about. When changes happen, it might be advantageous to quickly learn about new things. We use computer simulations of learning to investigate how big the advantage might be.