The meaning of this idiom depends on the context. While the definition given by @Khais would be correct in some situations - for example in the context of a police investigation searching for evidence to convict a criminal - it is not correct here. In the context of the song, this phrase means 'They are nowhere near as good as you': the singer is telling his girlfriend that she is better than all the beautiful girls in the world. He is reassuring her that she needn't be jealous of these girls.

This is a common phrase to mean "you are the best" at something or in some way. A good example might be a sportsperson such as Serena Williams. Many people would say she is the best tennis player in the world, so you could say "other tennis players have got nothing on her".

They have no evidence against you.

It means they can't blame you / they can't be better than you.

It means, “They are in no way superior/ better than you.” You can use this phrase to tell a friend they shouldn’t feel inferior to someone or to let them know they are just as skilled as the person you are comparing them to. Please use this phrase with your friends; it’s a great phrase, but don’t use it in a professional setting. It’s slang.