Environmental enrichment is widely used to improve welfare and behavioral performance of animal species. It ensures housing of laboratory animals in environments with space and complexity that enable the expression of their normal behavioral repertoire. Auditory enrichment by exposure to classical music decreases abnormal behaviors and endocrine stress responses in humans, non-humans primates, and rodents. However, little is known about the role of auditory enrichment in laboratory zebrafish. Given the growing importance of zebrafish for neuroscience research, such studies become critical. To examine whether auditory enrichment by classical music can affect fish behavior and physiology, we exposed adult zebrafish to 2 h of Vivaldi’s music (65–75 dB) twice daily, for 15 days. Overall, zebrafish exposed to such auditory stimuli were less anxious in the novel tank test and less active, calmer in the light-dark test, also affecting zebrafish physiological (immune) biomarkers, decreasing peripheral levels of pro-inflammatory cytokines and increasing the activity of some CNS genes, without overt effects on whole-body cortisol levels. In summary, we report that twice-daily exposure to continuous musical sounds may provide benefits over the ongoing 50–55 dB background noise of equipment in the laboratory setting. Overall, our results support utilizing auditory enrichment in laboratory zebrafish to reduce stress and improve welfare in this experimental aquatic organism.