During musical improvisation, performers’ skin conductance (SC, a measure of psychological arousal) may respond to movement and to events whose timing is beyond control. SC has not been studied in these difficult conditions. Our purpose was to establish a procedure and analysis that would permit the meaningful use of continuous SC measures while pianists play. Consequently, two case studies of SC during piano performances develop an effective method. SC was measured at the left ankle and movement was monitored nearby. Two musicians performed manipulations of movement (flexing legs, hand motion), and performance content (playing scales versus improvisation) and type (actual, silent and imagined). Time series analysis modeled SC in relation to supplied improvisational referents. We could interpret SC during performance, provided that we accounted for the impact of movement. We detected genuine SC changes around moments of transition between musical segments; these could reflect the mental effort of planning and generating music. In a subsequent validation study, we demonstrated the applicability of our method for SC analysis to performances by nine professional piano improvisers.