Like every other type of creative work, music is protected by copyright.
This seems to confuse people. I mean, how many marching bands, cover artists, and people on social media perform well-known, current songs? Some days, it seems like all of them.
But music is covered by copyright, is open to Fair Use and Creative Commons, and can even enter the Public Domain. This all refers to the original piece of music, not the performance of that music by groups. And it holds true, regardless of whether you use the whole song or just parts of it (otherwise known as sampling).
For the purposes of this chapter (because it would take a book unto itself to cover all of the issues surrounding music), we're going to focus primarily on cover songs. Feel free to extrapolate from there (with your own research) how that affects other uses of already published music you don't hold the rights for.
Because of the legal issues surrounding live performances, you might get away with your cover. (As always, do your due diligence. Don't get blindsided.) But if you're planning to record, distribute, or offer for download music that you personally didn't write, you have to have a license from the rightsholder covering how you intend to use the song or your cover of it.
What is perhaps the most interesting part if you cover a song you don't hold the copyright for is that your own performance of the song will be protected, but you can't actually do anything with it without a license because you don't own the copyright to the music itself. (Here, the music is defined as the written score. You need both the mechanical and the performance rights.) This is common across all forms of media, but probably comes up more with music than with any other form of media.
Remember, if you are planning to use music you personally do not hold the rights for in an upcoming project, make sure you're doing it legally. Do your due diligence.
Resources
Copyright FAQ – with a Lawyer! https://www.sweetwater.com/insync/copyright-faq-with-a-lawyer/
Posting Cover Songs on YouTube? What You Need to Know https://www.legalzoom.com/articles/posting-cover-songs-on-youtube-what-you-need-to-know
Do You Need A Licence For A Cover Song? https://www.makeitinmusic.com/licence-cover-song/
Royalties for Cover Songs https://www.legalzoom.com/articles/royalties-for-cover-songs
The FAQs of Music Licensing (marching bands) http://www.halftimemag.com/features/the-faqs-of-music-licensing.html
Copyright Resources https://www.musicforall.org/resources/copyright