Background/Objectives: Highly sensitive persons (HSPs) are characterized by increased emotional and sensory responsiveness, which may predispose them to anxiety, emotional dysregulation, and sensory overload. Music therapy based on gong sound sessions has emerged as a complementary intervention aimed at promoting emotional well-being. This study analyzed immediate pre- and post-intervention variations in an adult population with sensory processing sensitivity. Methods: A quantitative, quasi-experimental, single-group (non-controlled), pre–post intervention study was conducted using music therapy in a sample of N = 93 individuals, who were evaluated during an initial session (62 Highly Sensitive Persons [HSPs] and 31 Non-HSPs), from which a synchronized longitudinal sub-cohort of 39 participants (27 HSPs and 12 Non-HSPs) completed a second exposure. Indicators were assessed using the Questionnaire on the Impact of Music Therapy Sessions in Adult Patients (CISMA), whose technical designation corresponds to an acronym of Spanish-language origin. Results: Participants demonstrated significant score variations following gong sound therapy in each session. In the first session, the mean CISMA score changed by 7.0 points (p < 0.001), while the second session showed a mean variation of 7.0 points (p < 0.001). Participants reported favorable trends in emotional self-regulation, reduced anxiety, mitigated pain intensity, increased tolerance to sensory overload, and greater overall psychological well-being. Conclusions: Music therapy using gong sound appears to be a promising complementary framework, contributing to immediate positive shifts in emotional regulation, anxiety, pain, and sensory distress. Within the limitations of this non-controlled framework, these immediate shifts describe a specific statistical variation within the observed sample, which cannot be generalized as clinical efficacy. Controlled trials are needed to confirm these insights and show the potential integration of music therapy using gong sound into holistic nursing and mental health care models.