The aim of this study was to investigate the brain processes underlying emotions during natural music listening. To address this, we recorded high-density electroencephalography (EEG) from 22 subjects while presenting a set of individually matched whole musical excerpts varying in valence and arousal. Independent component analysis was applied to decompose the EEG data into functionally distinct brain processes. A k-means cluster analysis calculated on the basis of a combination of spatial (scalp topography and dipole location mapped onto the Montreal Neurological Institute brain template) and functional (spectra) characteristics revealed 10 clusters referring to brain areas typically involved in music and emotion processing, namely in the proximity of thalamic-limbic and orbitofrontal regions as well as at frontal, fronto-parietal, parietal, parieto-occipital, temporo-occipital and occipital areas. This analysis revealed that arousal was associated with a suppression of power in the alpha frequency range. On the other hand, valence was associated with an increase in theta frequency power in response to excerpts inducing happiness compared to sadness. These findings are partly compatible with the model proposed by Heller, arguing that the frontal lobe is involved in modulating valenced experiences (the left frontal hemisphere for positive emotions) whereas the right parieto-temporal region contributes to the emotional arousal.