Assuming we are created and that there is a unique singular source to which the universe traces its roots (such as "In the Beginning, There Was God"), then the only possible material for us to be made from is that singular source itself. In other words, we are part of that source. We each would represent an aspect of it. This also would speak to the sensation you are talking about with regards to music or other environments where there is a sense of being absorbed by the medium. These are pathways through which we sense the common material from which we all derive.

We are indeed energy. Physics confirms this, but spiritual traditions have come to the same conclusion countless times throughout history.