This isn't difficult to do, but Apple does impose some restrictions. You can't choose an arbitrary set of photos — instead, you need to sync a specific photo folder from the Photos app on your iPhone.
Here's how to do it.
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How to sync photos to your Apple Watch
1. Start the Watch app on your iPhone.
2. Tap "My Watch" at the bottom of the screen and then tap "Photos."
3. On the Photos page, in the Photo Syncing section, tap "Synced Album."
4. Tap the album that you want to sync with your Apple Watch.
5. Tap "Photos" to go back to the previous page.
6. In the Photo Storage section, tap "Photos Limit."
7. Tap the maximum number of photos you want to store on your watch. If you want to reserve storage space for other files (like music), choose a smaller number. Otherwise, you can store more photos for greater variety when using the Photos watch face.
How to create a photo folder to sync with your Apple Watch
You may want to sync an existing folder like Favorites or Recents to your Apple Watch, but you can also make a custom folder of photos just for your watch.
1. Start the Photos app on your iPhone.
2. Tap "Albums" at the bottom of the screen.
3. Tap the plus sign at the top left of the screen, then tap "New Album" in the pop-up window.
4. In the New Album window, give your folder a name.
5. Scroll through your photo library and tap the photos you want to add to your new folder.
6. When you're finished, tap "Done."