An Apple Watch only plays alerts and Siri responses through the built-in speaker. To listen to music or other audio, you must use Bluetooth headphones (or even a Bluetooth speaker). Here's how to set them up.
Put your Bluetooth headphones into pairing mode
To pair Bluetooth headphones with a new device, they must be put into pairing mode, making them available for new connections. The exact process varies from brand to brand, but it normally involves holding down the power button, a dedicated pairing button, or a combination of buttons for a few seconds.
If you are unsure how to put your headphones in pairing mode, please refer to the device manual. If you have lost that, search the internet for the make and model of your headphones and the "pairing mode".
If you have not put your headphones in pairing mode, your Apple Watch cannot find your watch
Pair Bluetooth headphones with your Apple Watch
On your Apple Watch, go to Settings> Bluetooth.
Put your headphones in pairing mode and make sure they are within range of your Apple Watch.
In a few seconds, your headphones should be listed under Devices. Tap on their name and they will connect.
Select Bluetooth headphones on your Apple Watch
The next time you turn on your headphones when your Apple Watch is within Bluetooth range, they should connect automatically. If not, you can select them manually.
Swipe up on the home screen of your Apple Watch to open the Control Center. Tap the "Audio sources" icon and select your headphones from the list.
Now all audio will be played through it.