In this paper, we examined brain activation in subjects during two music listening conditions: listening while simultaneously rating the musical piece being played [Listening and Rating (LR)] and listening to the musical pieces unconstrained [Listening (L)]. Using these two conditions, we tested whether the sequence in which the two conditions were fulfilled influenced the brain activation observable during the L condition (LR → L or L → LR). We recorded high-density EEG during the playing of four well-known positively experienced soundtracks in two subject groups. One group started with the L condition and continued with the LR condition (L → LR); the second group performed this experiment in reversed order (LR → L). We computed from the recorded EEG the power for different frequency bands (theta, lower alpha, upper alpha, lower beta, and upper beta). Statistical analysis revealed that the power in all examined frequency bands increased during the L condition but only when the subjects had not had previous experience with the LR condition (i.e., L → LR). For the subjects who began with the LR condition, there were no power increases during the L condition. Thus, the previous experience with the LR condition prevented subjects from developing the particular mental state associated with the typical power increase in all frequency bands. The subjects without previous experience of the LR condition listened to the musical pieces in an unconstrained and undisturbed manner and showed a general power increase in all frequency bands. We interpret the fact that unconstrained music listening was associated with increased power in all examined frequency bands as a neural indicator of a mental state that can best be described as a mind-wandering state during which the subjects are "drawn into" the music.