Apple Watch from USA will work in Europe?

Maybe.

Series 9 and Ultra II will work in the EU, HOWEVER,...

• They will not have the O2 sensor activated.
• They will not have an warranty (as they are country specific).

An SE, or Series 8, or Ultra 1, or older model have a Canada, U.S., Mexico, Puerto Rico specific cellular radio, and WILL NOT work in the EU (or anywhere else in the world).

They are human. The previous script was that it would not work, were the previous Apple Watches had the 2 different cellular radios. Or it is a general script that the store employees are suppose to follow because of limitations taking the Apple Watch out of the country. I do not know the answer.

But you can cross check model number for the U.S. vs the EU here:

Apple Watch - Carriers - Apple

With the Series 9 and Ultra II, the cellular radio works everywhere except China (China has a different cellular radio).

But the U.S. model has limitations that will not go away just because you crossed the Atlantic (no oxygen sensor support).

And you do not get a warranty when you are outside the U.S.