This article provides a critical overview of musical identities as a research topic. A broad distinction between identities in music (IIM) and music in identities (MII) highlights how musical engagement is central to identity construction. These concepts are integrated with recent advances in psychological theory derived from enactive cognition (4E cognition) to propose a new framework for understanding musical identities, Musical Identities in Action (MIIA). This framework foregrounds musical identities as dynamic (constantly evolving, dialogical, and actively performed), embodied (shaped by how music is physically expressed and experienced), and situated (emergent from interaction with social contexts, technologies, and culture). Musical identities are presented as fluid and constructed through embodied and situated action. Interdisciplinary research on music and adolescence is utilized to show how the MIIA framework can be applied to specific contexts and how musical identities interact with other aspects of life. Examples of the embodied nature of musical identities are provided from early interactions to professional performance and everyday informal engagement. Technology is highlighted as one topical and situated context, using digital playlists and a recent online improvisation project as examples. Implications of the MIIA framework for education and health are also presented, proposing that a key goal of music education is the development of positive musical identities. Recent advances in humanities research such as post-qualitative inquiry (PQI) and metamodern philosophical theory are proposed as useful multidisciplinary approaches for developing new knowledge related to musical identities.