Musical training has been shown to have positive effects on several aspects of speech processing, however, the effects of musical training on the neural processing of speech prosody conveying distinct emotions are yet to be better understood. We used functional magnetic resonance imaging (fMRI) to investigate whether the neural responses to speech prosody conveying happiness, sadness, and fear differ between musicians and non-musicians. Differences in processing of emotional speech prosody between the two groups were only observed when sadness was expressed. Musicians showed increased activation in the middle frontal gyrus, the anterior medial prefrontal cortex, the posterior cingulate cortex and the retrosplenial cortex. Our results suggest an increased sensitivity of emotional processing in musicians with respect to sadness expressed in speech, possibly reflecting empathic processes.