Several methods can be used in the neonatal intensive care unit (NICU) to reduce stress and optimize the quality of life during this period of hospitalization. Among these, music could play an important role. We investigated the effect of different kinds of music therapies on the brain activity of very preterm infants using amplitude-integrated EEG. Sixty-four patients were included and randomly assigned to three different groups: live music group, recorded music group, and control group. In both intervention groups, music was started after the appearance of the first quiet-sleep phase, with a subsequent duration of 20 min. Changes between the first and second quiet-sleep epochs were analyzed using the amplitude-integrated EEG. When looking at single parameters of the amplitude-integrated EEG trace, no differences could be found between the groups when comparing their first and second quiet-sleep phase regarding the parameters of change from baseline, quality of the quiet-sleep epoch, and duration. However, when looking at the total cyclicity score of the second quiet-sleep phase, a difference between both intervention groups and the control group could be found (live music therapy vs. control, p = 0.003; recorded music therapy vs. control, p = 0.006). Improvement within the first and second quiet-sleep epochs were detected in both music groups, but not in the control group. We concluded that our study added evidence of the beneficial effect of music on the amplitude-integrated EEG activity in preterm infants.