In other music genres, Kennedy recorded a cover of Jimi Hendrix's "Fire" for the 1993 album Stone Free: A Tribute to Jimi Hendrix. The same year, he made an appearance on Robert Plant's solo album Fate of Nations on the track "Calling to you". In 1999, Sony Classical released The Kennedy Experience, which featured improvisational recordings based on Hendrix compositions. In 2000, he recorded Riders on the Storm: The Doors Concerto (with Jaz Coleman), a violin-based orchestral version of Doors songs, including "Strange Days", "LA Woman", "The End", and "Riders on the Storm". On 27 November 2000, Kennedy joined rock group The Who at the Royal Albert Hall to play the violin solo in the song "Baba O'Riley", released three years later on the album Live at the Royal Albert Hall. Kennedy also played on several tracks – notably "Experiment IV" – by British singer-songwriter Kate Bush, who was a guest on Kennedy's episode of This Is Your Life. He was featured on two of Sarah Brightman's songs for her 2003 album Harem. He has explored Klezmer music with the Polish jazz band Kroke. In late 2005, Kennedy recorded his first album for the jazz label Blue Note Sessions, with Ron Carter on double bass, Jack DeJohnette on drums and saxophonist Joe Lovano.