First, ensure that your Bluetooth accessory (e.g., headphone) is in pairing mode. If you're not sure how to enable pairing mode, check the instructions for the Bluetooth device.
Once the Bluetooth device you want to pair with is in pairing mode, go to Settings > Connected devices and tap "Pair new device." After a few seconds, any nearby Bluetooth device available for pairing will be displayed under "Available devices." Tap on the device you want to pair with and following the on-screen instructions.