According to the article "A feeling for fiction: becoming what we behold" (Miall and Kuikan, 2002), suggest 4 levels of how reading stories/fiction affect us:
The first is a satisfaction and enjoyment
are reactions to an already interpreted text
The second level is when the feelings and engagement start kicking in:
as empathy or sympathy with an author, narrator, or narrative figure are involved in the
interpretive processes by which a representation of the fictional world is developed and
So, in this second stage, we are starting to get 'drawn in' to this fictional world.
The third level involves
feelings of fascination, interest, or intrigue are an initial moment in readers’
response to the formal components of literary texts (narrative, stylistic, or generic).
Now, these first 3 levels are more or less aesthetic, it is the fourth level (and the focus of the linked paper) that links the aesthetic and narrative feelings together that
produce metaphors of personal identification that modify self-understanding. We also argue
that the concept of catharsis (the conflict of tragic feelings identified by Aristotle) identifies
one particular form of a more general pattern in which aesthetic and narrative feelings evoked
during reading interact to modify the reader.
This last point is also discussed in the article "Why fiction may be twice as true as fact: Fiction as cognitive and emotional stimulation" (Oatley, 1999) with the statement:
in the simulations of fiction, personal truths can be explored that allows readers to experience emotions - their own emotions - and understand aspects of them that are obscure, in relation to the contexts in which the emotions arise.
From that, fiction is not just 'escapism' and affects us on psychological and cognitive levels beyond aesthetic levels. This would be true for any form of fiction, and potentially for music and visual art.
A possible evolutionary advantage is that this type of activity takes us away from the 'here and now' to places that we have never known, yet (according to the articles) have a sense of familiarity for us, emotionally and cognitively.