Plex maintains a database of theme music clips for a large number of television shows. When you add or update a show, your Plex Media Server will grab that theme music file if it's available and if you have your metadata agent set to do so.
For very new, very old, or more obscure shows, though, it's quite possible that a theme might not exist yet.
Using Your Own Theme Music File
If you'd like to use your own theme music file, you can do so by making use of the Local Media Assets metadata agent source. You'll need to name the MP3 appropriately and place it in the correct location.
Related Page: Media Preparation > Local Media Assets - TV Shows
Submitting Theme Music
If you'd like to help out, you can submit theme music files for possible inclusion in the database so that other people can benefit from them, too.
Related Page: TV Theme Music & Submissions