GWR will supply GMG Radio with its 'Hear It, Buy It, Burn It' service for its JazzFM, Real Radio and Smooth FM stations.
It will first launch on Real Radio in Wales, Scotland and Yorkshire at the end of January and will make available 300,000 tracks from record companies including Warner, BMG, EMI, Universal and Sony.
Listeners will be able to see the last 10 songs played by the stations on its website and then pay to download it to their computer, before copying it to a CD if they wish.
It is the first such deal to be struck by GWR since it launched the service, in partnership with digital music distributor OD2, last March.
GWR currently runs the services across its 34 local radio stations and on Core, its national digital radio station.