We propose a new task named Audio-driven Performance Video Generation (APVG), which aims to synthesize the video of a person playing a certain instrument guided by a given music audio clip. It is a challenging task to generate the high-dimensional temporal consistent videos from low-dimensional audio modality. In this paper, we propose a multi-staged framework to achieve this new task to generate realistic and synchronized performance video from given music. Firstly, we provide both global appearance and local spatial information by generating the coarse videos and keypoints of body and hands from a given music respectively. Then, we propose to transform the generated keypoints to heatmap via a differentiable space transformer, since the heatmap offers more spatial information but is harder to generate directly from audio. Finally, we propose a Structured Temporal UNet (STU) to extract both intra-frame structured information and inter-frame temporal consistency. They are obtained via graph-based structure module, and CNN-GRU based high-level temporal module respectively for final video generation. Comprehensive experiments validate the effectiveness of our proposed framework.