My headphones don’t work

Oh no! I'd hate for my brand new headphones to not work - as you said they came with your phone I can presume you're talking about the Apple Earpods?

If you take a look here, there is a few troubleshooting steps which could hopefully help you before contacting Apple Support.

This sounds strange considering they're new but I hope you get them fixed - good luck!

If your headphones don't work with your iPhone, iPad or iPod touch – Apple Support

Did you purchase these headphones directly from Apple ... either from their online or physical store? Are these wireless headphones? Regardless, which make & model are they?