A UMX file is a Music Package file used by Unreal Tournament First-Person Shooter game, developed by Epic Games, and contains background music tracker files inside it. That is why it is often considered just another package file extension containing tracker files such as .s3m and .it. A music tracker is a kind of music sequencer software for creating short music files using discrete musical notes. Different variants of UMX files contain audio outputs like explosions or footsteps. UMX files work with with versions prior the release of Unreal Engline 4.
UMX File Format - More Information
UMX files are saved to disc in binary file format using Epic’s proprietary file format and its internal file format details are not available publicly. UMX files can be opened with music tracker applications such as XimpleMOD and Unreal utilities such as Epic Games Unreal Tournament.