Perpendicularly propagating electromagnetic waves in magnetized, multispecies, self-gravitating dusty plasmas are investigated in terms of their wave dispersion properties as well as with respect to their susceptibility to gravitational collapse. In particular, waves on the ordinary as well as extraordinary mode branches are considered. Within the one-dimensional propagation model employed, all modes except the ordinary mode produce density perturbations that can be unstable to gravitational collapse. The wavelengths that are unstable are comparable to the well-known Jeans length for a neutral gas/dust, but there are interesting modifications due to the presence of a magnetic field and charged particles. Furthermore, the effects of the gravitational coupling of a multicomponent plasma to a neutral dust are discussed.