This is a core block and thus available by default in Gutenberg WordPress editor. No download required.
Using WordPress Audio Block you can add an embedded audio player. It allows you to upload your audio file, choose an audio file from media library or insert from external URL.
Audio Block Features
In the Gutenberg audio block toolbar, you get simply the alignment options. In the block sidebar settings, you get options to enable autoplay, loop, and preload. The preload option is interesting as you can set how much of the audio file should be loaded on the page load for a visitor. You can set it to none, metadata or auto (fully load). But bear in mind that if you have multiple audio blocks on a page and you set the preload to auto it would slow down the page loading speed.
This is how the audio block looks on the frontend by default.
In the audio block sidebar you will find options to set autoplay and loop the audio.
Audio Block allows you to upload your own audio file, select a file from media library or set provide a file URL which you have uploaded elsewhere.