Immersive listening systems have grown significantly over the past decade and are now an established area of scientific, artistic, and industrial research. However, scarce research has been conducted on musicians' preferences for playing through headphones over binaural spatialization systems with the addition of head tracking, as opposed to classical stereophonic systems. This comparison is essential to optimally support the playing experience with others for cases of remote collaborative playing, individual instrumental practice, individual recreational music-making using backing tracks, and studio recording sessions. In this article, we study the preferences of playing musicians for a stereophonic system versus a binaural head-tracking system composed of Ambisonics technology and binaural synthesis with generalized head-related transfer functions. We conducted two experiments, each with 30 expert musicians, where participants were asked to rate and compare the 2 listening conditions while playing their instrument either seated or standing. Overall, the quantitative and qualitative results indicated a generalized preference for the binaural system with head tracking over the stereophonic system, with higher ratings for localization, immersion, social presence, realism, and connection with other musicians. Moreover, participants moved their heads significantly more in the binaural conditions. This phenomenon may be explained by the higher engagement and arousal due to the improved auditory experience, or alternatively by the presence of embodied music cognition mechanisms that cause a higher degree of exploration to better understand the action–perception loop. These findings highlight the need for progressing current commercial hardware and software systems used by musicians while playing over headphones.