Airplay audio to Airport Express

I have tried several times to send audio from Airplay (Macbook air to appleTV) to my Airport Express with no success.

What exact model is your Apple TV and AirPort Express? Is it the Express the only router in your current network configuration? If not, what is the make & model of the other router? ... and how is the Express configured with this other device? That is, is it configured to join or extend its wireless network?

When the content is from ATV the airport express audio works fine on my wireless setup.

Content on the (non-1st generation Apple TV) would come from another source; either from the Internet or the local network. Either way, the Apple TV would need to be able to connect to a network in order to do either. If I understand you correctly, the AirPort Express is providing both access to the Internet and providing a Wi-Fi network which the Apple TV is also connected to. Is this correct?

BUT

When the audio is sent from my mac thru airplay, it comes out only from the ATV itself, even if my settings are to broadcast to Airplay speakers.

Are you trying to stream only audio from your Mac, or both audio & video over AirPlay? Are you streaming from iTunes or some other application from the Mac?

(I am mirroring my mac wirelessly on airplay to ATV)

Is your goal to play a video file (a movie for example) from your Mac using AirPlay so that it will display on a larger screen? If so then check out the following Apple Support article.

1. I am using AppleTV 3rd gen, the Airport Express is the latest (2012), this is the only purpose I bought it for.

I have the AE wirelessly connected to my Time Capsule (2011 MD033LL/A) (that is on the ATV thru ethernet). I have even tried the Express as the only router between ATV and the macbook air, same results.

2. The AE is wired to internet, for online content. Therefore it bridges between ATV and MBA.

If I understand your current network configuration correctly:

• The AE is your "main" router, connected by Ethernet to an Internet modem. Is this located in the audio room or where the projector is located?
• The TC is connected to the AE by wireless. Is it configured to extend the wireless range of the AE? What is the approximate distance between these two base stations? Also, how many walls separate them?
• The ATV is connected directly to the TC by Ethernet.

3. I am trying to Airplay a secondary screen AND audio, but the advantage would be having the AE next to the audio mixer.

Is the goal to display the MBA's screen (with audio), located in the audio room, to the projection system in front?

4. As I need to use it as a secondary screen, (not only a movie) it can not be only iTunes content, but the whole desktop!

So, you want to take advantage of the AirPlay Mirroring feature to do this?