Evidence that music therapy stabilises vital parameters in preterm infants is growing, but the optimal setting for therapy is still under investigation. Our study aimed to quantify the effect of physical contact during live music therapy in preterm infants born < 32 weeks’ gestational age (GA) on post-therapy vital sign values. Live music therapy was delivered twice-weekly until discharge from hospital to 40 stable infants < 32 weeks’ GA. Baseline and post-therapy heart rate, respiratory rate, oxygen saturation and physical contact during each session were recorded. 159 sessions were performed with, and 444 sessions without, physical contact. Descriptive and multivariable regression analyses based on directed acyclic graphs were performed. The mean GA was 28.6 ± 2.6 weeks, and 26 (65%) infants were male. Mean absolute values for heart and respiratory rates lowered during music therapy regardless of physical contact. The mean post-therapy SaO2 was higher compared to baseline values regardless of physical contact (mean differences −8.6 beats/min; −13.3 breaths/min and +2.0%). There were no clinically relevant changes in vital sign responses between therapy sessions, with or without physical contact, or adjusted post-therapy values for any of the studied vital signs. Physical contact caused better baseline and post-therapy vital sign values but did not enhance the vital sign response to music therapy. Thus, the effect of music therapy on preterm infants’ vital signs is independent of physical contact and parents’ presence during music therapy in the neonatal intensive care unit.