Studies on the potential benefits of conveying biofeedback stimulus using a musical signal have appeared in recent years with the intent of harnessing the strong effects that music listening may have on subjects. While results are encouraging, the fundamental question has yet to be addressed, of how combined music and biofeedback compares to the already established use of either of these elements separately. This experiment, involving young adults (N = 24), compared the effectiveness at modulating participants' states of physiological arousal of each of the following conditions: A) listening to pre-recorded music, B) sonification biofeedback of the heart rate, and C) an algorithmically modulated musical feedback signal conveying the subject's heart rate. Our hypothesis was that each of the conditions (A), (B) and (C) would differ from the other two in the extent to which it enables participants to increase and decrease their state of physiological arousal, with (C) being more effective than (B), and both more than (A). Several physiological measures and qualitative responses were recorded and analyzed. Results show that using musical biofeedback allowed participants to modulate their state of physiological arousal at least equally well as sonification biofeedback, and much better than just listening to music, as reflected in their heart rate measurements, controlling for respiration-rate. Our findings indicate that the known effects of music in modulating arousal can therefore be beneficially harnessed when designing a biofeedback protocol.