Используйте winsound.SND_ASYNC, чтобы воспроизводить их асинхронно
import winsound
winsound.PlaySound("filename", winsound.SND_ASYNC | winsound.SND_ALIAS )
#To stop playing
winsound.PlaySound(None, winsound.SND_ASYNC)
#In mac or other platforms: You can try this Pygame/SDL
pygame.mixer.init()
pygame.mixer.music.load("file.mp3")
pygame.mixer.music.play()