Allen is a passionate fan of jazz which is often featured prominently in his movies' soundtracks. He has played the clarinet since adolescence and chose his stage name from an idol, famed clarinetist Woody Herman. He has performed publicly at least since the late-1960s, notably with the Preservation Hall Jazz Band on the soundtrack of Sleeper. One of his earliest televised performances was on The Dick Cavett Show on October 20, 1971.
Woody Allen and his New Orleans Jazz Band play every Monday evening at Manhattan's Carlyle Hotel, specializing in classic New Orleans jazz from the early twentieth century. The documentary film Wild Man Blues (directed by Barbara Kopple) documents a 1996 European tour by Allen and his band, as well as his relationship with Previn. The band has released two CDs: The Bunk Project (1993) and the soundtrack of Wild Man Blues (1997).