Here, we present a protocol for studying the neural mechanism of music therapy in alleviating depression using a combined electroencephalogram (EEG) and local field potential (LFP) signal recording. We describe steps for subject recruitment, surgery for implanting recording devices, signal processing, and emotional assessments. We then detail procedures for recording and analyzing EEG and LFP data. This protocol focuses on understanding how personal music preferences contribute to the therapeutic benefits of music in treating psychiatric conditions. For complete details on the use and execution of this protocol, please refer to Lv et al.