There’s 2 ways I can think of, one easy and one not so easy.
Easy way is to replace your mic with a double ended audio jack cable, one end into the mic port (or line in, if a desktop), and the other end directly into the music player (mp3 player, phone, etc).
Hard way is to route your music playout to the line in through tweaking the audio settings of your computer. You can also just share your device’s audio through a streaming app and put feedback on but that gets messy real quick.
Personally, I prefer when people don’t play their audio over game chat because the compression in place always makes it sound terrible. It’s there for occasional voice transmissions, not constant streaming of music.