As far as I know, there is not native or third party library available to play MIDI on the iPhone. But there seem to be quite a few apps that do exactly that. What are they
Check out the MusicPlayer class. Combined with the AUSampler audio unit available since iOS 5.0 you can build a MIDI player quite easily. (The link is OS X, but it applies for iOS as well)
https://developer.apple.com/library/mac/#documentation/MusicAudio/Conceptual/CoreAudioOverview/ARoadmaptoCommonTasks/ARoadmaptoCommonTasks.html#//apple_ref/doc/uid/TP40003577-CH6-SW13
About the sampler audio unit see: Simple embeddable MidiSynth for iOS?