Human language, music and a variety of animal vocalisations constitute ways of sonic communication that exhibit remarkable structural complexity. While the complexities of language and possible parallels in animal communication have been discussed intensively, reflections on the complexity of music and animal song, and their comparisons are underrepresented. In some ways, music and animal songs are more comparable to each other than to language, as propositional semantics cannot be used as as indicator of communicative success or well-formedness, and notions of grammaticality are less easily defined. This review brings together accounts of the principles of structure building in language, music and animal song, relating them to the corresponding models in formal language theory, with a special focus on evaluating the benefits of using the Chomsky hierarchy (CH). We further discuss common misunderstandings and shortcomings concerning the CH, as well as extensions or augmentations of it that address some of these issues, and suggest ways to move beyond.