While the Apple Watch is technically not locked to any carrier, they are region based.
A U.S model watch can be potentially used in countries like Canada, and Mexico, but will not work due to band differences in Europe, Africa or Asia. The same is true conversly.
There's also the fact that carriers in the country you wish to use the watch in must support it. The watch cannot roam outside of the country the cell company it is using is from.
See here for a list of carriers around the world that support the different Apple Watch versions.
Apple Watch - Carriers - Apple