Music predates recorded history, so it is impossible to say where and when it was first performed. However, there are archaeological records that indicate virtually all prehistoric societies developed musical instruments and had some capacity to play music.
The oldest known musical instrument is a flute made of bone that was discovered in Germany in 2008. It is estimated to be around 35,000 years old, meaning that it was made around the time of the last ice age. The flute was found in the settlement of early Homo sapiens, which is an important distinction, because nearby Neanderthal settlements have turned up no archaeological evidence to indicate that they performed music.