The watch and the phone each keep their own step counts. In addition, how you view the step counts may show you different numbers as well. You can see the raw data that Apple is recording by looking in the health app on the phone, and then going down in to the detail to see what the phone or the watch reported.
The steps should be pretty close, for the times when you had the watch and the phone on your person during all activity. But depending on how you move and where you wear/carry them, you'll probably get some differences in count.
How far apart are your counts?