Challenge mode is the simplest mode in Theatrhythm Final Fantasy. You may simply pick any song you've unlocked and play it. Once you've beaten a song on Basic difficulty, you may play it on Expert. Furthermore, once you beat a song on Expert with a score of A or better, you may play it on the Ultimate difficulty. Beating all three main songs per game on higher difficulties is necessary to play Series on those difficulties.
Opening and closing themes are not playable on Challenge mode. Unlocked songs and DLC will appear in their own categories.