An easy way to add the native audio player to your website…
Drag and embed block
Use:
<audio src="audio.mp3" controls></audio>
Link: Script Junkie | Microsoft Docs
Enjoy
Awesome, was just looking for a way to do this 
So can you add an audio file to a Webflow hosted site or does it need hosted externally?
It would have to be hosted externally.
You can also use HTML5 to get native video on you site with the video tag.
<video width="320" height="240" controls>
<source src="movie.mp4" type="video/mp4">
<source src="movie.ogg" type="video/ogg">
Your browser does not support the video tag.
</video>