Background/Objectives: Musical pleasure is considered to be induced by prediction errors (surprise), as suggested in neuroimaging studies. However, the role of temporal changes in musical features in reward processing remains unclear. Utilizing the Information Dynamics of Music (IDyOM) model, a statistical model that calculates musical surprise based on prediction errors in melody and harmony, we investigated whether brain activities associated with musical pleasure, particularly in the θ, β, and γ bands, are induced by prediction errors, similar to those observed during monetary rewards. Methods: We used the IDyOM model to calculate the information content (IC) of surprise for melody and harmony in 70 musical pieces across six genres; eight pieces with varying IC values were selected. Electroencephalographic data were recorded during listening to the pieces, continuously evaluating the participants’ subjective pleasure on a 1–4 scale. Time–frequency analysis of electroencephalographic data was conducted, followed by general linear model analysis to fit the power-value time course in each frequency band to the time courses of subjective pleasure and IC for melody and harmony. Results: Significant positive fits were observed in the β and γ bands in the frontal region with both subjective pleasure and IC for melody and harmony. No significant fit was observed in the θ band. Both subjective pleasure and IC are associated with increased β and γ band power in the frontal regions. Conclusions: β and γ oscillatory activities in the frontal regions are strongly associated with musical rewards induced by prediction errors, similar to brain activity observed during monetary rewards.