Not a movie. That has got to be one of two possible Mickey short films, either Thru the Mirror or Mickey's Parrot. My money is on Mickey's Parrot, because Thru the Mirror is a wee bit frightening for most little ones, but Mickey's Parrot is one of the very few really funny Mickey shorts. My 3yo loves it.
We have both of these on the boxed set "Mickey Mouse in Living Color, 1936-37." (It's one of the Treasures series, the ones sold in the silver "film can" case.)
In Mickey's Parrot, Mickey hears a radio report warning that there is a dangerous escaped convict on the loose, and being Mickey, decides that he has to arm himself to defend the house. At the same time, a passing truck happens to lose a parrot out of the cargo area, and it sneaks into the basement of Mickey's house to escape a rainstorm. Mickey and Pluto hear the parrot barging around and decide that it must be the convict. Hijinks ensue. There are at least two sequences where shadows add to Mickey's confusion about the source of the noise.