This study explores whether musical training is able to enhance the perception of pitch- and location- based selective auditory attention, then analyzes the corresponding neural mechanism of the auditory plasticity through musical training. In the auditory perception experiment, listeners were instructed to select one of two simultaneous digits based on either the target digit's pitch or location. In the auditory cognitive experiment, the listeners' brainstem frequency-following responses (FFRs)were recorded in response to the complex tones with various frequency resolutions in both quiet and in noisy acoustic environments. Further, four approaches of FFR analysis were proposed, including short-term phasing locking value of envelope-related frequency-following response (FFR_ENV), polar of FFR's instantaneous phase difference, vector of FFR's grand averaged phase difference, and spectrum signal-to-noise ratio of temporal-fine-structure-related frequency-following response (FFR_TFS). Results show that compared to non-musicians, listeners with musical training were both more accurate at reporting the target digit and had a shorter reaction time, especially for attend-pitch trials. For both groups, noise had little effect on the neural encoding of the fundamental frequency (F0) but significantly degraded the neural encoding of harmonics. Compared to non-musicians, musicians showed enhanced phase locking of F0 as well as more robust phase locking to stimulus harmonics in the noise condition. Neural spectrum SNRs of FFR_TFS to harmonics were correlated with listeners' behavioral correction rate on the pitch-based auditory attention, for which robustness of musicians' FFR out performed the non-musicians'. These findings suggest musician's better pitch perception in auditory selective attention is relevant to their enhanced neural cognition. Musical training is assumed to be able to enhance the FFR_ENV phase locking to the F0, the robustness and continuous phase locking of FFR_TFS to the harmonics, and spectrum SNR FFR_TFS to the harmonics. In conclusion, musical training has a significant effect on listeners' plasticity in auditory selective attention.