Studies have demonstrated that music profoundly influences human emotions and physiological states, serving as an effective non-pharmacological intervention in pain management. This study investigates whether pain perception and modulation can be influenced by music. We hypothesised that music would reduce pain perception regardless of the music type. In our experiment, we adopted cold-induced pain to simulate pain conditions to collect EEG data from six healthy students. We analysed EEG data to assess the effect of music on pain perception. Our preliminary analysis revealed disparities in EEG patterns between control and music conditions. Significant changes in brain waves were observed in association with pain perception, especially delta, theta, and alpha band power, which are linked to the emotional and cognitive dimensions of pain. Additionally, the presence of music significantly increased alpha and beta band powers, leading to more relaxed and alert states. Our findings also showed variability in pain tolerance among individuals under different music and experimental conditions. Specific musical elements (e.g., rhythm, melody, harmony) also play critical roles in modulating pain perception, along with varying cognitive, social, and behavioural parameters of the subjects.