Can I view history of recently connected USB devices in OS X?
It's not likely you will have that information from weeks ago. The likely place, system.log is deleted after a week, so you'd need to have Time Machine or another backup mechanism to look at that file.

You could test this easily opening the console.app and filtering system.log for USB messages (or even look in all messages) and see what is logged when you connect the affected / intended to track device.

Since MP3 players look like storage, there's a good chance you will get some log messages to track that from OS X without needing special software as long as the event is within a week.