Hi
The following steps may help when pairing compatible Bluetooth headphones (including support for the A2DP Bluetooth profile) to Apple Watch, having previously resolved the same issue for some other users:
Unpair your headphones from your iPhone or any other device that they may already be paired with.
Restart your Apple Watch:
Check that you are following both the manufacturer's pairing instructions for your headphones and Apple's instructions:
Try moving your Apple Watch and headphones to a different location, further away from any other active Bluetooth devices.
Enable and disable Airplane Mode on your Apple Watch: