The central position and universality of music in human societies raises the question of its phylogenetic origin. One of the most important properties of music involves harmonic musical intervals, in response to which humans show a spontaneous preference for consonant over dissonant sounds starting from early human infancy. Comparative studies conducted with organisms at different levels of the primate lineage are needed to understand the evolutionary scenario under which this phenomenon emerged. Although previous research found no preference for consonance in a New World monkey species, the question remained opened for Old World monkeys. We used an experimental paradigm based on a sensory reinforcement procedure to test auditory preferences for consonant sounds in Campbell's monkeys (Cercopithecus campbelli campbelli), an Old World monkey species. Although a systematic preference for soft (70 dB) over loud (90 dB) control white noise was found, Campbell's monkeys showed no preference for either consonant or dissonant sounds. The preference for soft white noise validates our noninvasive experimental paradigm, which can be easily reused in any captive facility to test for auditory preferences. This would suggest that human preference for consonant sounds is not systematically shared with New and Old World monkeys. The sensitivity for harmonic musical intervals emerged probably very late in the primate lineage.