This article describes a setup for the simultaneous recording of electrophysiological data (EEG), musical data (MIDI), and three-dimensional movement data. Previously, each of these three different kinds of measurements, conducted sequentially, has been proven to provide important information about different aspects of music performance as an example of a demanding multisensory motor skill. With the method described here, it is possible to record brain-related activity and movement data simultaneously, with accurate timing resolution and at relatively low costs. EEG and MIDI data were synchronized with a modified version of the FTAP software, sending synchronization signals to the EEG recording device simultaneously with keypress events. Similarly, a motion capture system sent synchronization signals simultaneously with each recorded frame. The setup can be used for studies investigating cognitive and motor processes during music performance and music-like tasks--for example, in the domains of motor control, learning, music therapy, or musical emotions. Thus, this setup offers a promising possibility of a more behaviorally driven analysis of brain activity.