This study investigates the effects of music listening on perception and tolerance of experimentally induced cold pressor pain. Fifty-four participants (34 females, 20 males) each underwent 3 cold pressor trials while listening to (a) white noise, (b) specially designed relaxation music, and (c) their own chosen music. Tolerance time, pain intensity on visual analog scale, and the pain rating index of the McGill Pain Questionnaire and perceived control over the pain were measured in each condition. While listening to their own preferred music, male and female participants tolerated the painful stimulus significantly longer than during both the relaxation music and control conditions. However, only female participants rated the intensity of the pain as significantly lower in the preferred music condition. Both male and female participants reported feeling significantly more control when listening to their preferred music. It is suggested that personal preference is an influential factor when considering the efficacy of music listening for pain relief.