To say that these are "sounds" from space isn't 100% accurate. They're actually radio waves converted into sound. The same way a radio (that arcane box in your car for when your aux cord breaks) takes radio waves and transforms them into Taylor Swift, these radio waves can be turned into sound. The results are as incredible as they are unsettling, as you can hear above.
NASA introduced these recordings on its website with the following explanation, which like any good horror movie shifts abruptly between over-the-top and banal: "Soaring to the depths of our universe, gallant spacecraft roam the cosmos, snapping images of celestial wonders. Some spacecraft have instruments capable of capturing radio emissions. When scientists convert these to sound waves, the results are eerie to hear."