Tension experience is the basis for music emotion. In music, discrete elements are always organized into complex nested structures to convey emotion. However, the processing of music tension in the nested structure remains unknown. The present study investigated the tension experience induced by the nested structure and the underlying neural mechanisms, using a continuous tension rating task and electroencephalography (EEG) at the same time. Thirty musicians listened to music chorale sequences with non-nested, singly nested and doubly nested structures and were required to rate their real-time tension experience. Behavioral data indicated that the tension experience induced by the nested structure had more fluctuations than the non-nested structure, and the difference was mainly exhibited in the process of tension induction rather than tension resolution. However, the EEG data showed that larger late positive components (LPCs) were elicited by the ending chords in the nested structure compared with the non-nested structure, reflecting the difference in cognitive integration for long-distance structural dependence. The discrepancy between resolution experience and neural responses revealed the non-parallel relations between emotion and cognition. Furthermore, the LPC elicited by the doubly nested structure showed a smaller scalp distribution than the singly nested structure, indicating the more difficult processing of the doubly nested structure. These findings revealed the dynamic tension experience induced by the nested structure and the influence of nested type, shedding new light on the relationship between structure and tension in music.