I don't know what all you've done so far. And you failed to "post your code".
I've seen lots of problems with these things lately. I had a few stashed for over a year, pulled one out and it worked for me first time out.
Reformat the SD and put 2 short MP3s on it, name them 001.mp3 and 002.mp3, copying them to the SD one at a time.
And then get the player going right without other complications,
// Use pins 2 and 3 to communicate with DFPlayer Mini
static const uint8_t PIN_MP3_TX = 2; // Connects to module's RX
static const uint8_t PIN_MP3_RX = 3; // Connects to module's TX
SoftwareSerial softwareSerial(PIN_MP3_RX, PIN_MP3_TX);
player.volume(22); //30 is very loud it seems
Serial.println("Connecting to DFPlayer Mini failed!");
Serial.println("Pause . . .");