Musical learning is related to the development of audio-visuomotor associations linking gestures with musical sounds. To study the role of auditory feedback in learning, 115 students (56 guitarists, 59 pianists) at the beginner, intermediate and advanced levels were recruited. Playing with sound (audio-motor feedback), mute practice (motor feedback), and piece listening (auditory feedback) were compared to first sight reading to assess the role of auditory and motor feedback in procedural learning. The procedure consisted of the execution of a standard piece for determining the students’ level and 4 further music executions (every week for 4 weeks), preceded by different practice conditions (for 12 min, once a day, for 5 days). Real musical pieces (e.g., Segovia, Schubert, Bartók) were used. Performance evaluation focused on four macro-categories: note, rhythm, dynamics and smoothness. For both instruments, first-sight reading (A − M −) was associated with the worst performance: silent motor practice (A − M +) resulted in learning the rhythmic structure of the piece and in a smoother performance. Listening to pieces (A + M −) resulted in learning the agogics and in improving articulation and smoothness. Listening during performance (A + M +) resulted in fewer intonation errors. Interestingly, auditory feedback was more relevant for beginners than for advanced students, as evidenced by the greater benefits of listening during practice.