Apple Watch 3

It’s the Watch which needs to be connected by WiFi, not the iPhone. IF you have the GPS-only version the watch needs to be within Bluetooth range from your iPhone for full functionality. If you are away from your iPhone the watch may still be able to work through WiFi (a WiFi which you have connected previously with the paired iPhone so the watch knows the password). See Apple support article https://support.apple.com/en-us/HT205547 for a full description of which functions will work over WiFi.

There are 2 versions of Apple Watch 3, GPS only or GPS plus LTE. The LTE version has a red Digital Crown and is capable of standalone cellular operation. The GPS-only version needs a connection to your iPhone to maintain full connectivity, but it can do many functions if it can connect over WiFi.