Can I use an Apple Watch Ultra 2 with eSIM/cellular in Denmark if purchased in Thailand?

If you buy an Apple Watch abroad, these devices are supposed to be used in the country of purchase, due to the different built in hardware, that has to support local carriers, especially if it comes to LTE.

So make sure that your carrier in Denmark supports this model and all its features.

And the watchOS is also country specific. An Apple Watch bought in Thailand will always install the watchOS version and all available features for this region/country. Features that are specific to the danish/EU version of watchOS will not be supported in that case.

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copied from: Apple Watch - Carriers - Apple

Also remember, that the warranty for an Apple Watch can be restricted by Apple to the country of purchase.

In case of a warranty claim, you will have to bring the watch back to the country of purchase, Apple Support does not ship internationally.