Spliceosomes catalyze the maturation of precursor mRNAs in organisms ranging from yeast to humans. Their catalytic core comprises three small nuclear RNAs (U2, U5 and U6) involved in substrate positioning and catalysis. It has been postulated, but never shown experimentally, that the U2–U6 complex adopts at least two conformations that reflect different activation states. We have used single-molecule fluorescence to probe the structural dynamics of a protein-free RNA complex modeling U2–U6 from yeast and mutants of highly conserved regions of U2–U6. Our data show the presence of at least three distinct conformations in equilibrium. The minimal folding pathway consists of a two-step process with an obligatory intermediate. The first step is strongly magnesium dependent, and we provide evidence suggesting that the second step corresponds to the formation of the genetically conserved helix IB. Site-specific mutations in the highly conserved AGC triad and the U80 base in U6 suggest that the observed conformational dynamics correlate with residues that have an important role in splicing.