Some Europeans have a history of eating eat small birds, as well as Asians.
In America you'd probably be doing a good thing by eating European House sparrows and Starlings as they displace native birds. They can both be caught by trap rather than hunting. Sparrows seems so small that it might be best to for go them, or maybe use for soup? But Starlings are larger and definitely edible and are likely the famed "black birds baked in a pie".
You should be careful with the sparrows as to proper identification... and native songbirds are protected. I wouldn't eat them.