Mind wandering, occupying 30-50% of our waking time, remains an enigmatic phenomenon in cognitive neuroscience. Predominantly viewed negatively, mind wandering is often associated with detrimental impacts on attention-demanding (model-based) tasks in both natural settings and laboratory conditions. Mind wandering however, might not be detrimental for all cognitive domains. We proposed that mind wandering may facilitate model-free processes, such as probabilistic learning, which relies on the automatic acquisition of statistical regularities with minimal attentional demands. We administered a well-established implicit probabilistic learning task combined with mind wandering thought probes in healthy adults (N = 37, 30 females). To explore the neural correlates of mind wandering and probabilistic learning, participants were fitted with high-density electroencephalography. Our findings indicate that probabilistic learning was not only immune to periods of mind wandering, but was positively associated with it. Spontaneous, as opposed to deliberate mind wandering, was particularly beneficial for extracting the probabilistic patterns hidden in the visual stream. Additionally, cortical oscillatory activity in the low-frequency (slow and delta) range, indicative of covert sleep-like states, was associated with both mind wandering and improved probabilistic learning, particularly in the early stages of the task. Given the importance of probabilistic implicit learning in predictive processing, our findings provide novel insights into the potential cognitive benefits of task-unrelated thoughts in addition to shedding light on its neural mechanisms. This surprising benefit challenges the predominant view of mind wandering as solely detrimental and highlights its complex role in human cognition, especially in memory consolidation.