As lynx369 said, if you want them in the native Music app, you need to import them into iTunes on a computer, then sync the content. You can also use Apple Music along with iTunes Matching (both paid services). You still need to import the music, but it becomes availabe in your iTunes music library in the cloud and can be downloaded from there.
The alternative is to use a third party player app. These have several options for transfering music, including but not limited to using your webbrowser on a local network (calld Wi-/Fi Drive or similar in most apps), a USB cable with a computer app like iMazing, and cloud services.
Since I’m already heavily invested in music purchased in the iTunes Store, I prefer to use the Music app and the services already mentioned. I do have a third party app for audio files I don’t want mixed with my music. At this time I’m using nPlayer, though I have used VLC and OPlayer before.