Preterm newborns' autonomic response to dynamic auditory stimuli is poorly understood. To examine how cardiac and respiratory systems adjust their rhythms in response to music, we assessed 18 preterm infants (gestational age 37.73 ± 0.80 weeks) and 19 adults across music listening. Heart rate dynamics, respiratory sinus arrhythmia (RSA), and cardiorespiratory coupling were analyzed. Studying the power spectral density of the interpolated interbeat interval series, both groups showed decreased high-frequency power during music listening. In preterm infants, RSA increased (p = 0.005), possibly suggesting a state of calm alertness, where the infant is physiologically prepared for interaction with environmental stimuli, while adults had decreased RSA (p = 0.003) and concomitant increased values of the low-frequency/high-frequency power ratio, possibly reflecting heightened alertness. While frequency domain cardiovascular responses to music were similar between preterms and adults, only the investigation of RSA and cardiorespiratory coupling measures revealed the delicate balance of autonomic dynamics in preterm newborns.