I have to confess that until our family adopted our first retired racing greyhound, I really hadn't given much thought to the effect music had on pets. As pet parents to an ex-racer, we learned that the kennels where all the dogs were kept, aside from their training and racing days, piped classical music for them 24 hours a day, 7 days a week. The music helped keep them calm, and because they're pack animals, it helped with the separation anxiety they experienced after being in close proximity with other greyhounds.
It's now become our go-to solution for keeping our two greyhounds calm during thunderstorms and whenever the neighborhood lights up with fireworks. I've heard from many other pet owners that it helps their pets too, with separation anxiety and even helps keep boredom at bay. There have been studies done on the tone and pitch that is most soothing to dogs and cats and there are many music collections made and sold specifically for pets. Personally, I experiment with different music for my two dogs. Their taste ranges from classical to pop. In fact, if I'm playing music they happen to like, they will leave the room they're in and curl up in my office beside me, content to spend the afternoon working with me.
Do some research - try different genres for your pet and watch how it affects them. Here are some links to get you started: