It's a song by my brother

[Marina Gaidar]

Can I say "It's a song by my brother" or it's better to say "written/created by my brother"?

[Gillnetter]

Can I say "It's a song by my brother" or it's better to say "written/created by my brother"?

It depends on how exact you want to be.
"by" is fine if the context supports it.
"written" is more definite.
"created" probably doesn't work here, though a person can create a song.
You may want to use "composed", as "composed" refers to the making of an art form. "composed" also refers to the arrangement of the music, as well as the words.