This paper examines different ways in which the notion of creativity has been used in relation to performance, and discusses psychological research on the topic. A considerable amount of this research is concerned with the creative use of expression in score-based performance, but a more conspicuous demonstration of creativity in performance is found in improvised performance. Having considered representative examples of the relatively small amount of cognitive research in this domain, the paper discusses rather different approaches, some based within ethnomusicology, that have looked at improvisational practices in a more embodied, as well as more socially and culturally embedded, manner. The paper concludes with some general recommendations for the way in which future research might bring together the rather disparate perspectives that currently characterise this complex domain.