Play audio across slides in PPT 2016-2019

For PPT 2016-2019

Go to the first slide of your presentation.

Click the Insert tab.
Select the Audio button and choose Audio on my pc. 

Select the audio file by double clicking on it. The loudspeaker icon appears on your slide.

Under Audio tools the Playback tab is active. Click on the Play in background button in the Audio styles group.

Starting with version PPT 2016 the audio file is part of the click sequence. After clicking on the Play in background button the audio file will move to the top of the click sequence.

If you double click the audio file in the animation pane you will see that the audio will stop after 999 slides.

If you do not want to see the loudspeaker during the slide show, check the box Hide during show in the Audio options group of the Playback tab. Or you can drag the loudspeaker icon in the surrounding slide area.

In the same group you can see all the options you need to play the audio across several slides.

As an alternative you could set the whole thing here without ever needing the animation pane.