The question of why music evolved has been contemplated and debated for centuries across multiple disciplines. While many theories have been posited, they still do not fully answer the question of why humans began making music. Adding to the effort to solve this mystery, we propose the socio-affective fiction (SAF) hypothesis. Humans have a unique biological need for emotion regulation strengthening. Simulated emotional situations, like dreams, can help address that need. Immersion is key for such simulations to successfully exercise people's emotions. Therefore, we propose that music evolved as a signal for SAF to increase the immersive potential of storytelling and thereby better exercise people's emotions. In this review, we outline the SAF hypothesis and present cross-disciplinary evidence.