Linguistic research showed that the depth of syntactic embedding is reflected in brain theta power. Here, we test whether this also extends to non-linguistic stimuli, specifically music. We used a hierarchical model of musical syntax to continuously quantify two types of expert-annotated harmonic dependencies throughout a piece of Western classical music: prolongation and preparation. Prolongations can roughly be understood as a musical analogue to linguistic coordination between constituents that share the same function (e.g., ‘pizza’ and ‘pasta’ in ‘I ate pizza and pasta’). Preparation refers to the dependency between two harmonies whereby the first implies a resolution towards the second (e.g., dominant towards tonic; similar to how the adjective implies the presence of a noun in ‘I like spicy … ’). Source reconstructed MEG data of sixty-five participants listening to the musical piece was then analysed. We used Bayesian Mixed Effects models to predict theta envelope in the brain, using the number of open prolongation and preparation dependencies as predictors whilst controlling for audio envelope. We observed that prolongation and preparation both carry independent and distinguishable predictive value for theta band fluctuation in key linguistic areas such as the Angular, Superior Temporal, and Heschl's Gyri, or their right-lateralised homologues, with preparation showing additional predictive value for areas associated with the reward system and prediction. Musical expertise further mediated these effects in language-related brain areas. Results show that predictions of precisely formalised music-theoretical models are reflected in the brain activity of listeners which furthers our understanding of the perception and cognition of musical structure.