Birds are fairly fragile. However, if the household is set up properly, most of their fragility can be avoided. Air fresheners such as aerosol, essential oils, and candles need to be avoided as they release fumes that a toxic to birds. Bird's have very fragile lungs that don't do well with unnatural fumes. If you need to "freshen" your house, it is recommended you boil some water and toss in cinnamon stick and orange peels. This releases a pleasant and natural odor that isn't harmful to our birds.
Another common household problem are object that are intended to be heated. Such as pots, space heaters, ovens, toasters, and etc. These products are commonly coated in teflon which when heated to a certain temperature or has something burnt on it, it will release fumes that aren't even good for us and downright deadly to our birds. Alternatives to these are stainless steel pots, ceramic space heaters, and other similarly non-teflon/nonstick products. You might have to do some research and calling around especially for basic kitchen appliances like toasters. These products are heavily debated as some say the fumes are only released under very specific circumstances, but it's better safe than sorry in my opinion.
Then comes the most unfortunate possibility, depending on where you got the bird he may or may not have had some sort of genetic defect that was undetectable until it was too late. This is unfortunately common especially with budgies and other smaller birds that are mass produced and shoved into pet stores with little to no regulation.
If possible I would advise having the body sent off for a necropsy just to make sure your other bird isn't in any danger from something contagious. If the you and the birds haven't been around any strange birds it's very unlikely that something contagious is passing through but it would be better to be safe. I would also recommend taking your other bird into the vet for a check up just to be safe.