Abstract: Beginning with Pierre Hadot’s idea of spiritual exercises and Stanley Cavell’s conception of moral perfectionism, this essay argues that improvisation can be understood as a practice of spiritual self-transformation. Focusing on the example of Sonny Rollins, the essay investigates the ways in which Rollins’ improvisations embody a series of philosophical concepts and practices: the care of the self, the Stoic exercise of cosmic consciousness, the problem of moral exemplarity, the ideas, found in the later Foucault, of a limit attitude and an experimental attitude, and so on. The underlying claim of the essay is that improvisation is not only an aesthetic exercise, but also a social and ethical practice that can give rise to existential transformations.