The rearing environment of pigs can cause a high level of stress due to the lack of stimuli and the impossibility of carrying out natural behaviors. Music therapy is a way to enrich the environment and promote stress relief. Few studies in swine using environmental enrichers focus on functional benefits, such as stress resilience, improved biological functions, or mental status. The effect of environmental enrichment on neurobiological processes is particularly poorly understood in farm animals. Thus, our study sought to elucidate the influence of music in piglets exposed to music therapy in the intrauterine and extrauterine phase on neuroplasticity, evaluating the levels of brain-derived neurotrophic factor (BDNF). Behavioural responses were also evaluated using fear tests related to stress resilience. The productive performance of these piglets was analysed to relate the possible reduction in stress levels to greater productivity gains. Forty-eight sows were used at 90 days of gestation until the weaning of their piglets. In the gestation phase, the sows were divided into two treatments: control (without music therapy) and music (with music therapy). In the farrowing/lactation phase, the sows were separated into four treatments: control-control (no music in any phase); control-music (music only in farrowing/lactation); music-control (music only during pregnancy); and music-music (music in both reproductive phases). Music therapy did not cause a difference in the BDNF levels of piglets at birth. However, piglets born from sows of the music-music treatment did not show a reduction in BDNF between birth and weaning, unlike the other treatments. Exposure to music in the last 1/3 of pregnancy and farrowing/lactation improved the weight of piglets at birth and at weaning. Musical enrichment during pregnancy and lactation was able to cause changes in the piglets’ neuroplasticity and improve their productive performances.