Music is increasingly being recognised as an adjuvant treatment for pain management. Music can help to decrease the experience of both chronic and experimental pain. Cognitive agency has been identified as a specific mechanism that may mediate the analgesic benefits of music engagement however, it is unclear if this specific mechanism translates to acute pain. Previous attempts to understand the cognitive mechanisms that underpin music analgesia have been predominantly lab-based, limiting the extent to which observed effects may apply to participants’ everyday lives. Addressing these gaps, in naturalistic settings, the present study examined the degree to which cognitive agency (i.e., perceived choice in music), music features (i.e., complexity), and individual levels of musical sophistication were related to perceived pain. In an online global experiment, using a randomised between groups experimental design with two levels for choice (no choice and perceived choice) and two levels for music (high and low complexity), a sample of 286 adults experiencing acute pain reported their pain intensity and pain unpleasantness pre- and post-music listening. A bespoke piece of music was co-created with a commercial artist to enable the manipulation of music complexity while controlling for familiarity, while facilitating an authentic music listening experience. Overall, findings demonstrated that increased perceived control over music is associated with analgesic benefits, and that perceived choice is more important than music complexity. Highlighting the importance of listener engagement, people who reported higher levels of active engagement experienced greater decreases of pain intensity in the perceived choice condition, than those who reported lower levels of active engagement. These findings have implications for both research and practice, emphasising the importance of facilitating freedom of choice, and sustained engagement with music throughout music listening interventions.