Narrated `Abdullah bin Mughaffal Al-Muzani
Allah's Messenger (ﷺ) said thrice, "There is a prayer between the two Adhans (Adhan and Iqama)," and added, "For the one who wants to pray."
Narrated Anas bin Malik
"When the Mu'adh-dhin pronounced the Adhan, some of the companions of the Prophet (ﷺ) would proceed to the pillars of the mosque (for the prayer) till the Prophet (ﷺ) arrived and in this way they used to pray two rak`at before the Maghrib prayer. There used to be a little time between the Adhan and the Iqama." Shu`ba said, "There used to be a very short interval between the two (Adhan and Iqama).