The technology and entertainment group sold the business and transferred affiliated musicians to a local firm for an undisclosed sum, the Nikkei reported.
Sony - like many multinational companies - suspended all business operations in Russia earlier this year following that country's invasion of Ukraine. Russia calls its actions in Ukraine a "special operation".
Other businesses managed by Sony in Russia, such as gaming and movies, remain suspended, the Nikkei said.
(Reporting by Sakura Murakami; Editing by Christopher Cushing)