Recent research found evidence supporting music therapy for preterm infants to stabilize vital signs and possibly promote neurodevelopment. Even though preterm infants spend a considerable amount of time sleeping, the effectiveness of music therapy during sleep has not been studied. The aim of this study was to investigate the effect of music therapy on preterm infants’ vital signs with respect to the state of wakefulness. The first 20 consecutive infants born with <32 weeks’ gestational age (GA) from the intervention group of an ongoing randomized controlled trial received live music therapy twice a week until hospital discharge. The heart rate, respiratory rate, oxygen saturation, and state of wakefulness were recorded before and after therapy. We observed significantly lower heart and respiratory rates and higher oxygen saturation after live music therapy sessions in general (mean differences −4.9 beats per min; −7.0 breaths per min and +1.5%, respectively). When music therapy was applied during sleep, respiratory rates significantly lowered by 8.8 breaths per min and oxygen saturation increased by 1.6%, whereas in the awake state the vital parameters did not significantly change (heart rate −5.2 beats per min; respiratory rate +0.6 breaths per min and oxygen saturation +1.0%). Music therapy stabilized the respiratory rates and oxygen saturations in sleeping preterm infants.