Hi
Check that you are tucking the end of the Sport Band through the opening, as shown here:
Fasten your Apple Watch band - Apple Support
If your watch is a 42mm model, you may find that a longer Sport Band offers a more secure fit.
The White Sport Band is currently available for purchase from the Apple Online Store with an L / XL size configuration option:
http://www.apple.com/shop/watch/bands
You may otherwise find that a different style of band better meets your needs. Sizing information (measure your wrist circumference) is provided for each band in the Apple Online Store. You may also wish to consider trying on some different bands in an Apple Retail Store.