Both 'it is yours' and 'it is theirs' situations can apply! Let me hypothetically describe here...
(I am not an attorney, and provide this narrative only the illustrate the possible complexities of why you should consult an attorney for a better understanding of your explicit circumstances.)
General description of Hypothetical Situation:
1. You are under contract by Artist X or his agent to shoot photos/videos of Artist X (and his sides in the band)
2. you shoot some photos of the stage and surroundings at VenueY, during some idle moments when Artist X and band are otherwise not 'on stage'
- As a 'work made for hire', photos in #1 are indeed the copyright of the hiring business/person, unless in writing your agreement specifies that you retain copyright. You stated, "My contract states that I have copyright to the photos and videos that I shoot." Perhaps your written contract protects your retention.
a. If indeed the photos are 'work made for hire' (and in writing you are not retaining rights to the photos), they need no permissions or releases to use photos for their own commercial purposes (ads, brochures, etc.). Additionally they can grant rights to other parties to use photos in some commercial manner, without your permissions
b. If the 'for hire' photos copyrights are retained by you, while they might be able to use their own (hired) photos commercially without permissions from you, as the copyright owner you retain rights to grant permissions to others for use of the same photos in some commercial manner by some third parties...but written permissions from Artist X are probably also needed because he/they are recognizable persons in the photos! So, in practice, your retention of copyright might prove valueless when you do not have Artist X permission for commercial use, in which case you have a market limited to selling shots as 'wall decor'.
- Photos of VenueY in #2 were not made as part of the 'for hire' shooting, and you retain copyright. If Artist X or his agent happen to see any of these photos and would like to use them commercially, they need to negotiate terms/conditions with you. That does not alleviate the need for you to have permissions from the owner/manager of VenueY for any commercial use of the photos!
There is nothing that says Artist X or his agent do not argue with you (and in court) about whether Photos in #2 are or are not included as part of the body of work for which your contract was enacted. How the court sides with you or them is subject to the wording of the contract and whether a jury panel agrees with your opinion vs. that of Artist X.