What is your brain doing while your mind is wandering? This study used a within-subjects experience-sampling design to test whether episodes of mind-wandering during a demanding cognitive task are associated with increases in EEG alpha power. Alpha refers to cyclic oscillations in EEG activity at 8-12 Hz, and has been previously correlated with internally rather than externally directed cognition. Participants completed a speeded performance task with more than 800 trials while EEG was recorded. Intermittent experience-sampling probes asked participants to indicate whether their mind was wandering or on-task. Participants reported mind-wandering in response to approximately half of the probes. EEG alpha power was significantly higher preceding probes to which participants reported mind-wandering, compared with probes to which participants reported being on task. These findings imply that dynamic changes in alpha power may prove a valuable tool in studying momentary fluctuations in mind-wandering.