The ability to improvise is important for creative activities and also for navigating through everyday life, being related to well-being and mental health. Our work studies the effect of improvisation in classical music performance, contrasting “strict” performances that closely follow the musical score prioritising accuracy, and “let-go” performances that occasionally diverge in collective improvisational gestures. This pilot study presents results from a live chamber-music concert given by a professional trio (voice, flute, and piano), in the presence of an audience of 22 adults with varying levels of musical experience and training. Our analysis includes acoustic and artistic related parameters, continuous body motion tracking and post-performance assessments of the musicians, post-performance audience ratings and EEG signal analysis of the members of the trio and four members of the audience. We hypothesise that improvisation can push musicians and audience members into a different state of mind, which shares properties with primary states from the Entropic Brain Hypothesis (EBH)  and states of flow . In agreement with this hypothesis, our results show consistent and significant increases in EEG signal complexity across musicians and some audience members, as captured by Lempel-Ziv complexity. This is supported by other neural correlates of transitions between unconscious and conscious states (e.g. spectral signatures) that support our view of improvisation as a distinct mental state. These effects cannot be attributed to motor activity, as the motion tracking analysis shows less movement during the let-go performance, and seems not to be triggered by visual stimuli, as the audience members with highest effect were blindfolded. The acoustic and performance analysis reveals differences in feeling of time, risk taking and “mind-reading” during shared spontaneous gestures, which are confirmed by the post-performance assessments. Furthermore, listeners consistently rated the let-go performance as more communicative and emotionally appealing, providing additional support that an improvisational state of mind "carries over" from musicians to audience.