Abstract Stress, anxiety, and depressive symptoms can be reduced by listening to music, but the underlying mechanisms remain unclear. To address this gap, we measured brain connectivity while participants listened to songs of different genres: ambient, pop, and metal. Additionally, affective ratings were obtained while participants ( n = 30) listened to the six different songs, and subjective ratings of state anxiety were solicited at the terminus of each song. Electroencephalography (EEG) connectivity combining weighted Phase Lag Index and graph theory was utilised to document brain activity during listening. Repeated-measures ANOVA indicated that listening to more pleasant and less arousing songs was associated with lower self-reported state anxiety levels than songs rated unpleasant and highly arousing. Of interest, EEG alpha connectivity differed across two ambient songs, particularly in the frontal lobes, despite being from the same genre and rated as highly pleasant and low in arousal. We also observed a sex effect on EEG results, where female participants ( n = 18) displayed stronger connectivity than male participants ( n = 12). Combined, these results suggest that ambient songs reduce state anxiety but have divergent brain responses, possibly reflecting the complex nature of music listening, including sensory processing, emotion and cognition.