The musical experience includes perceptual attributes of sound, cognitive understanding of harmonic and melodic structures, and affective responses to tension and release. How does the mind derive this complex musical experience from exposure to sounds? To address this question, naïve listeners with no prior exposure to the Bohlen-Pierce scale were presented with series of melodies composed in the Bohlen-Pierce scale, and were given pre- and post-exposure tests assessing grammar-learning, statistical sensitivity, and preference for melodies. Results show that given exposure to small numbers of melodies, listeners recognized and preferred melodies they had heard, but when exposed to large sets of melodies, listeners learned the underlying statistical regularities of the novel music. Event-related brain potentials in response to chords in the B-P scale revealed two components of cortical activity which are sensitive to sound probabilities and individual differences in learning. Results suggest that the human brain rapidly picks up on structural and statistical properties of sounds, and that neural mechanisms enabling statistical learning may be fundamental to the musical experience.