Check your APN settings against your carrier's APN settings (which you can find on the web). The MMS settings should be exactly the same as the ones your carrier uses.
If that doesn't fix it, check with your carrier. (Have someone send you an audio file attached to a text, and bring the phone into the carrier so they can see it when they try to listen.)
That's if you're talking about the text app that comes with the phone. If it's something else - Facebook Messenger, WhatsApp Messenger, something like that - contact the app's developer.)