People who engage in musical activities may, on average, share certain personality features. For example, performing music in front of audiences may require greater extraversion. In contrast, long and solitary practice sessions may require greater introversion and conscientiousness. Research has established some links between dimensions of personality and indicators of engagement with music, for example, specific personality profiles for musicians/non-musicians. For example, openness is usually linked to musical involvement. However, research in the area is scarce and it remains unclear which specific aspects of musical engagement are linked to personality; how these links establish in the course of development; and whether these links are affected by culture. This article reports data collected with several measures of personality (Big Five personality scales) and a comprehensive measure of engagement with music—the musical sophistication index (Gold-MSI) in three countries: Germany ( N = 1,114), Russia ( N = 346), and the United Kingdom ( N = 751). We applied a graphical network modeling approach to investigate the patterns of association among the measures. Our results found a number of consistent musical sophistication-personality associations across the three samples, with the strongest link being between the Gold-MSI emotions subscale and the personality trait openness, which was found in all three samples.