An audio playback system includes a handheld device and a digital stereo set. By the handheld device, a control message is converted into a modulation signal. The modulation signal is transmitted to a speaker, thereby controlling the speaker to generate a modulated sound wave signal. After the modulated sound wave signal is received by a built-in microphone of the digital stereo set, the modulated sound wave signal is restored to the control message. After the control message is received by the digital stereo set, the digital stereo set performs a corresponding control action.