Abstract It is poorly known whether musical training is associated with improvements in general cognitive abilities, such as statistical learning (SL). In standard SL paradigms, musicians have shown better performances than nonmusicians. However, this advantage could be due to differences in auditory discrimination, in memory or truly in the ability to learn sequence statistics. Unfortunately, these different hypotheses make similar predictions in terms of expected results. To dissociate them, we developed a Bayesian model and recorded electroencephalography (EEG). Our results confirm that musicians perform approximately 15% better than nonmusicians at predicting items in auditory sequences that embed either low or high-order statistics. These higher performances are explained in the model by parameters governing the learning of high-order statistics and the selection stage noise. EEG recordings reveal a neural underpinning of the musician’s advantage: the P300 amplitude correlates with the surprise elicited by each item, and so, more strongly for musicians. Finally, early EEG components correlate with the surprise elicited by low-order statistics, as opposed to late EEG components that correlate with the surprise elicited by high-order statistics and this effect is stronger for musicians. Overall, our results demonstrate that musical expertise is associated with improved neural SL in the auditory domain. Significance statement It is poorly known whether musical training leads to improvements in general cognitive skills. One fundamental cognitive ability, SL, is thought to be enhanced in musicians, but previous studies have reported mixed results. This is because such musician’s advantage can embrace very different explanations, such as improvement in auditory discrimination or in memory. To solve this problem, we developed a Bayesian model and recorded EEG to dissociate these explanations. Our results reveal that musical expertise is truly associated with an improved ability to learn sequence statistics, especially high-order statistics. This advantage is reflected in the electroencephalographic recordings, where the P300 amplitude is more sensitive to surprising items in musicians than in nonmusicians.