Flight Crew Commercial; Flight Crew Instrument; Flight Crew Multiengine
Communication Breakdown; Situational Awareness
Deviation - Altitude Crossing Restriction Not Met; Deviation - Altitude Overshoot; Deviation / Discrepancy - Procedural Clearance; Deviation / Discrepancy - Procedural Published Material / Policy; Inflight Event / Encounter CFTT / CFIT
Air Traffic Control Issued Advisory / Alert; Flight Crew Became Reoriented
Human Factors
Coming into ZZZ about 30 miles out in VMC we were assigned at pilots discretion down to 4000 feet; after that we were assigned another heading and what I thought was down to 3000 feet to join the visual approach in a few miles so i descended down and a few minutes after reaching 3000 feet the controller called to let us know just that the MSA for that sector was 3700 feet to which we asked for a climb and climbed back up and let him know that we would file some paper work and told him we thought we heard 3000 feet and he said something about being VMC plus the MSA altitude and he said just to give him a call when we got on the ground and we got his number. After taking down the number he cleared us for the visual in which we were high as well as close to the final approach fix and handed us off to tower. Turning final and finishing up configuration we realized we were still a bit too high  for our comfort level and standards instead of continuing we decided to execute a go around and came back around to land with no issue. Once we got to the hotel we gave the controller a call and he explained that we were in VMC conditions and he thought we might have just taken another planes altitude and that he had just noted we went below the MSA for the alert he got and there was no issues and we let him know we would file an report for our end and he said have a nice day. Misunderstanding or took another planes altitude. Asked ATC to climb to MSA and request accepted and we climbed to MSA. Nothing do exactly as we did.
First Officer reported receiving a CFIT Warning from ATC.