Hi
The following steps may help:
If you have not yet done so, then update your iPhone and Apple Watch to the latest software, starting with your iPhone:
- Update the iOS on your iPhone, iPad, or iPod touch - Apple Support
- Update your Apple Watch - Apple Support
Unpair your compatible* headphones from your iPhone or from any other device that they may already be paired with.
Restart your Apple Watch:
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:
Re-pair your headphones with your Apple Watch:
* Compatibility
Most - but not all - Bluetooth headphones that use the A2DP Bluetooth profile can be used with Apple Watch for listening to music from it:
- Listen to music on your Apple Watch - Apple Support
- Use Bluetooth accessories with Apple Watch - Apple Support
Apple does not publish a list of compatible headphones.
Headphones that are least likely to be compatible are those that also offer additional built-in functions such as fitness tracking, a heart rate monitor and/or a built-in media player.
For any such headphones, I suggest that you check with the manufacturer regarding compatibility.