After defeating Roshan, search and rescue the bound Magician NPC underground. If there is a free room for him to move in, he will sell the music box.

The music box in Terraria is a very interesting prop. Its function is simply to change the BGM. You can record your favorite background music in the game. To turn it into portable background music, the music box needs to be carried with you (equip it to the accessory slot), and it will be recorded after the ambient music has passed a full section. The music box will then become a placeable item with a name that changes based on the recorded music. Almost all environments can be recorded, as well as BOSS battle music and so on.