No sleep tracking data

source: Track your sleep on Apple Watch and use Sleep on iPhone - Apple Support

Getting more accurate results with your Apple Watch

If you paired your Apple Watch after completing Sleep setup, you can still turn on Track Sleep with Apple Watch. In the My Watch app on your iPhone, tap Sleep, then tap Track Sleep with Apple Watch to turn on this setting.

To get the most accurate results when wearing your watch to sleep:

• Turn on Charging Reminders. On your iPhone, open the My Watch app and tap Sleep. Tap Charging Reminders to turn on a reminder on your Apple Watch to charge before your Wind Down time. If your watch battery dies, it won't track your sleep data.
• Make sure that you're wearing your Apple Watch at a comfortable fit. If your watch is too loose, the accelerometer might register too much movement during your natural sleep. 

ecbridges wrote:

Thanks for that, but the setting in the My Watch app was already on. It’s still not tracking 😕

The second thing also mentioned above was to check whether the watch has been worn snugly ... not too loose!

Also, maybe the watch is measuring your Heart Rate ... verify by going to Health > Heart > Heart Rate > Scroll to Heart Rate: Sleep... if there is a recording you will see the results here.

The Health app should also illustrate the your weekly/monthly sleep data in a series of blue bi-color bar charts. The darker blue indicates average time in bed while the lighter blue the average time asleep. This is based on heart rate and movements and perhaps iPhone usage in bed.

It will not explicitly state/illustrate that you were out of bed, moving, etc.

If you have set it up correctly and this is not working, restart your iPhone & Apple Watch and redo the settings.

If it still is not working, contact Apple Support!