Mind wandering is a prevalent and ubiquitous phenomenon. Several studies suggest that mind wandering benefits creativity if it occurs in the incubation period of a creative problem-solving task. However, it could be impairing real-time expression of creative behavior if it occurs during the course of a creative task. This dissociation between incubation and performance suggests that mind wandering poses a double-edged sword to creative cognition. Jazz improvisation provides an ecologically useful framework for studying the effects of mind wandering on creativity. Here we hypothesized that mind wandering during a musical improvisation task would be associated with higher levels of musical creativity, compared with on-task attention. Nine experienced musicians performed several jazz improvisation tasks interleaved with the presentation of random thought probes. The results showed that musical improvisation during unintentional mind wandering was associated with higher musical creativity when compared with improvisation during on-task attention. However, mind wandering did not impact overall improvisational quality. Altogether, these data suggest that the positive relationship between mind wandering and creativity also extends to artistic performance domains.