Audio-based music classification and tagging is typically based on categorical supervised learning with a fixed set of labels. This intrinsically cannot handle unseen labels such as newly added music genres or semantic words that users arbitrarily choose for music retrieval. Zero-shot learning can address this problem by leveraging an additional semantic space of labels where side information about the labels is used to unveil the relationship between each other. In this work, we investigate the zero-shot learning in the music domain and organize two different setups of side information. One is using human-labeled attribute information based on Free Music Archive and OpenMIC-2018 datasets. The other is using general word semantic information based on Million Song Dataset and Last.fm tag annotations. Considering a music track is usually multi-labeled in music classification and tagging datasets, we also propose a data split scheme and associated evaluation settings for the multi-label zero-shot learning. Finally, we report experimental results and discuss the effectiveness and new possibilities of zero-shot learning in the music domain.