In recent years, deep learning technique has received intense attention owing to its great success in image recognition. A tendency of adaption of deep learning in various information processing fields has formed, including music information retrieval (MIR). In this paper, we conduct a comprehensive study on music audio classification with improved convolutional neural networks (CNNs). To the best of our knowledge, this the first work to apply Densely Connected Convolutional Networks (DenseNet) to music audio tagging, which has been demonstrated to perform better than Residual neural network (ResNet). Additionally, two specific data augmentation approaches of time overlapping and pitch shifting have been proposed to address the deficiency of labelled data in the MIR. Moreover, an ensemble learning of stacking is employed based on SVM. We believe that the proposed combination of strong representation of DenseNet and data augmentation can be adapted to other audio processing tasks.