Expectation is crucial for our enjoyment of music, yet the underlying generative mechanisms remain unclear. While sensory models derive predictions based on local acoustic information in the auditory signal, cognitive models assume abstract knowledge of music structure acquired over the long term. To evaluate these two contrasting mechanisms, we compared simulations from four computational models of musical expectancy against subjective expectancy and pleasantness ratings of over 1000 chords sampled from 739 US Billboard pop songs. Bayesian model comparison revealed that listeners' expectancy and pleasantness ratings were predicted by the independent, non-overlapping, contributions of cognitive and sensory expectations. Furthermore, cognitive expectations explained over twice the variance in listeners’ perceived surprise compared to sensory expectations, suggesting a larger relative importance of long-term representations of music structure over short-term sensory–acoustic information in musical expectancy. Our results thus emphasize the distinct, albeit complementary, roles of cognitive and sensory expectations in shaping musical pleasure, and suggest that this expectancy-driven mechanism depends on musical information represented at different levels of abstraction along the neural hierarchy. This article is part of the theme issue ‘Art, aesthetics and predictive processing: theoretical and empirical perspectives’.