How do I set up a voicemail for my new Apple Watch ? When I call it says no voicemail set up

The Watch does not have a separate number from the iPhone. It uses the iPhone's number. If you are looking at a number on your phone bill, that is just a billing number and is not for use to receive calls on the Watch.

The watch actually DOES have a separate number from your phone. If you have the watch on a cellular plan , you CAN make and receive phone calls. You don’t have to have the watch paired or on WiFi.

Is voicemail already set up on your paired iPhone? If you open the Phone app on the iPhone, then tap the Voicemail bottom right, is that call already working fine for you? In principle the same capability should then become aitomatically available within the watch calls as well.

cindysrebnik wrote:

The watch actually DOES have a separate number from your phone. If you have the watch on a cellular plan , you CAN make and receive phone calls. You don’t have to have the watch paired or on WiFi.

While it is correct that you can make and receive calls with a cellular watch, it makes and receives calls from your iPhone number. The number assigned to the Watch by your cellular company is only a number for accounting purposes and not a working phone number. The only difference may be for those individuals that have an Apple Watch that is paired as a part of a Family Plan. In that case, your cellular provider would need to assist you in setting up your voicemail, since voicemail is a carrier feature.