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