The music periodical collections at the Allen Music Library are quite impressive. You'll find not only the major musicological journals, but some hard-to-find ones as well in German, French, even Dutch and Russian. Our physical journal collection is currently split between Dewey call numbers (780s) and the MLs. These are housed on the top floor of the Allen Music Library.
Anthropology journals of interest to ethnomusicologists will be located in the Strozier Library, and again, many of those titles will be availalbe online.
Additionally, many journals are available electronically. You can browse by subject or search a particular title to see if it is available physically or virtually through this full-text journal finder.