A Taliban spokesman said two of the three gunmen had been arrested but denied they had acted on behalf of the Islamist movement.
Music was banned when the Taliban ruled the country from 1996 to 2001.
The new authorities have not yet issued such a decree.
An eyewitness told the BBC that four couples were being married in a joint wedding in Surkh Rod district in the province of Nangarhar on Friday.
They had taken permission from a local Taliban leader to play recorded music in an area used only by the women.
But late at night, the gunmen forced their way inside and tried to smash the loudspeakers. When the guests protested, the armed men opened fire.
Taliban spokesman Zabihullah Mujahid said the case was under investigation.
The Islamic State group, which is opposed to the Taliban, is also active in Nangarhar and has been blamed for similar incidents in the past.