System Preferences > Security & Privacy > General > the bottom checkbox should say "Allow your Apple Watch to unlock your Mac" - both devices need to use the same iCloud account. There are some hardware requirements as well but unless your Mac is over a decade old I don't think you need to worry about them.
Just be aware that you don't necessarily need to be right in front of your Mac for this to work; depending on your room and Mac position, if you're even a few feet away your Watch could unlock your Mac if, say, someone else bumps it. Activate it depending on your living situation and security needs; it's a very convenient feature, though.