Musicians' skills in auditory processing depend highly on instrument, performance practice, and on level of expertise. Yet, it is not known though whether the style/genre of music might shape auditory processing in the brains of musicians. Here, we aimed at tackling the role of musical style/genre on modulating neural and behavioral responses to changes in musical features. Using a novel, fast and musical sounding multi-feature paradigm, we measured the mismatch negativity (MMN), a pre-attentive brain response, to six types of musical feature change in musicians playing three distinct styles of music (classical, jazz, rock/pop) and in non-musicians. Jazz and classical musicians scored higher in the musical aptitude test than band musicians and non-musicians, especially with regards to tonal abilities. These results were extended by the MMN findings: jazz musicians had larger MMN-amplitude than all other experimental groups across the six different sound features, indicating a greater overall sensitivity to auditory outliers. In particular, we found enhanced processing of pith and sliding up to pitches in jazz musicians only. Furthermore, we observed a more frontal MMN to pitch and location compared to the other deviants in jazz musicians and left lateralization of the MMN to timbre in classical musicians. These findings indicate that the characteristics of the style/genre of music played by musicians influence their perceptual skills and the brain processing of sound features embedded in a musical context. Musicians' brain is hence shaped by the type of training, musical style/genre, and listening experiences.