How do I connect with my Apple Watch to my iPhone

Set up your Apple Watch

https://support.apple.com/en-us/HT204505#

M1 Mac mini, macOS 11.1; Watch, series 5 GPS/cellular, watchOS 7.2; iPad Pro 2nd Gen, iPadOS 14.3; iPad Air 2, iPadOS 14.3; iPhone 12 Pro, iOS 14.3; TV 4th Gen, tvOS 14.3  HomePods, audioOS 14.3 and Airport Express w/ Airplay 2