A Mega can deliver a maximum average of about 150mA with 12volt on V-in or the DC socket.
The datasheet of that Mp3 module states that even USB power is not enough,
because it needs at least 1Amp.
It seems that most of the devices need 5volt. Can't you run everything on a 5volt supply?
What are those amplifier modules. A bridge-mode class-D amplifier running on 5volt can be equally powerful than a class-AB amp running on 12volt.
Leo..