Hello oz274,
Thanks for posting in the Apple Support Communities.
For assistance with pairing Bluetooth headphones to your Apple Watch, check out the steps below. You can also locate additional information here: Connect Apple Watch to Bluetooth headphones or speakers - Apple Support
Pair Bluetooth headphones or speakers
You need Bluetooth headphones or speakers to listen to most audio on your Apple Watch (Siri, phone calls, voicemail, and voice memos play through the speaker on Apple Watch). Follow the instructions that came with the headphones or speakers to put them in discovery mode. When the Bluetooth device is ready, follow these steps:
1. Open the Settings app
on your Apple Watch, then tap Bluetooth.
2. Tap the device when it appears.
You can also tap
on the play screens of the Audiobooks, Music, Now Playing, and Podcasts apps to open the Bluetooth setting.
If you need assistance with pairing your Sony headphones, take a look at the following resource from Sony Support. If it's not helpful, reach out there to confirm if they're compatible with the Apple Watch.
Pairing and connecting with a Bluetooth device
Let us know if that takes care of this for you.
Cheers!