It can vary by species, usually they hide in places like evergreen trees, tree hollows, bushes, etc. The more urban birds will find places in cracked buildings and such.
There’s a bush right in front of my parking spot on the side of my apartment complex, and at night and in the winter I can see them huddled in there sometimes.
Edit: I know the thread has been deleted, but if anyone sees this comment and happens to be curious, I took a quick video of the [birds](https://imgur.com/a/lFXDseJ). It is sunny out, but it’s just a few degrees above freezing.
In this year’s BBC Winterwatch they had a little feature every night on a treecreeper roosting in an excavated hole in a sequoia tree, it flattens itself against the bark to gain warmth from the tree.
There’s a little clip of it here: https://twitter.com/BBCSpringwatch/status/1222973612686225408?s=19
One time I set off a firework that accidentally went up into and through a tree in the driveway where there were dozens of birds of all kinds roosting and they all flew away protesting loudly. Lots of fluttering noises. They tolerated the fireworks until one came right through their bedroom. I felt bad.
I had no idea there were that many in a tree at night. I also saw them in the little bushes leading up to a department store where the lights were in the winter. That seemed like a really safe and warm place.
There are boxes you can get that have 3 closed sides and an open side. They are not very tall and there is on overhang in the open side. Apparently they can use these and crowd in for warmth and shelter. All different kinds of birds together.
Edit: In Massachusetts in the summer (fireworks).
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