My new Apple Watch SE will not charge.

Did you follow the troubleshooting steps in the Related Article above your post? That provides you with steps to check before contacting Apple Support if they do not work. Describe what you have done so far so someone does not duplicate those steps. But if the device is brand new and you have tried the steps, I would consider returning the device. If purchased from Apple, you have 14 days to return the device for a full refund. If you purchased from another retailer, then you would need to check on their return policy.