Here is a way to listen to your audiobooks on your Apple Watch. Nick101 is right. They have to be mp3 but not just that they have to be mp3 at 96 kbps or greater AND, if you don't want them to be starting over from the beginning of the book each time you listen you need to split them into manageable sections (no chapter breaks with mp3). Here's the details.
To convert your audiobooks
You need an audio converter app to convert your book to mp3. This requires a laptop or desktop computer. I use iTunes Converter. I tried Tunes4Mac iTunes Audio Converter but it doesn't work with El Capitan. Here is where to get iTunes converter. http://www.ondesoft.com/itunes_converter/
Make sure the settings in the audio converter are set to convert your file to mp3 and at least 96 kbps (in iTunes converter you can use 128 kbps). If you don't do this, iTunes Match won't put it in your library and you won't be able to see it on your phone. You must be able to see it on your phone in order to download it to your watch.
Once your file is converted with iTunes Converter, use another app called Audio Splitter (same company), to split it into shorter segments.
Locate the files on your computer that have been split into segments and drag them to a playlist in iTunes. My files show up in Documents/iTunes Converter
On your phone,
Make sure Bluetooth is turned on (go to Settings/Bluetooth to turn it on).
Make sure your iCloud Music Library is switched on in Settings/Music (otherwise no books will show up to place on the watch)
Open the Apple Watch app on your phone.
Scroll down to Music and tap it
Tap Synced Playlist
Select the playlist that you just created in your music library that contains your book segments.
Once selected, you should see a checkmark by the playlist and the words ‘Sync Pending’ for awhile. Be patient. You may see the message switch to show % transferred. This could take an hour or more depending on the size of your book.
To Listen to your book, you need to pair it with Bluetooth Headphones
Use these steps to pair:
Put your Bluetooth headset in pairing mode using the instructions that came with it.
On your Apple Watch, tap Settings > Bluetooth. Your Apple Watch will search for nearby Bluetooth accessories.
Choose your Bluetooth accessory.
If asked, enter a passkey or PIN.
Once your book is completely loaded on the watch and your headphones are paired
From the Home screen on your Apple Watch, tap the Music app.
Firmly press the screen, then tap Source > Apple Watch.
Tap Playlists and you should see a category called On My Apple Watch and below it the playlist for your audiobook that you earlier synced to the watch.
Tap that playlist, select the first track, click the play icon and you should hear it coming out of your Bluetooth headset.