In recent years, we have witnessed remarkable progress in the field of music psychology. Thanks to neuroimaging technology, a number of investigations have provided valuable insight into the neural mechanisms underlying musical creativity. Combining aesthetics and cognitive neuroscience, the present article aimed at analyzing the mental processes related to the acts of composition and improvisation. It was proposed that the default mode network, executive control network, and bilateral inferior frontal gyri may support the self, executive control, and generation of creative new ideas, respectively. In particular, the medial prefrontal cortex implicated in the affective self and social self plays a key role in the subjectivity of musical creativity. Previous studies showed that rich experiences in improvisation may enhance the efficiency of executive control network. The nature and core value of musical creativity were discussed in relation to artificial intelligence and musical education.