Since WordPress version 3.6 WordPress added the ability to embed audio into posts and pages by automatically wrapping the link (URL) to your audio file in your media library with an audio short-code. If you use Visual mode this is a behind the scenes kind of magic where all you would see is a graphical play button in your post/page that would play your audio file when you clicked it. If you’re comfortable in the Text mode (HTML) then you would see the following:
[audio mp3="ABSOLUTE LINK TO MY AUDIO FILE"][/audio]
When the page is live you will get the following, with your own audio file of course.