Suppose you're using automatic tracking that has not synced to your phone. In that case, you might need to start the session manually on the watch for the phone and watch to sync together. To do this, open the app on your watch and start the night-long session. This usually does the trick, and the watch should track on its own the following night!
If this doesn't work, ensure you have all these settings on.
Go to your iPhone settings > Sleep Cycle > and ensure 'Background app refresh' is on.
Also, go to Apple Health > Browse > Click on your picture at the top right corner > Under Privacy, click on Apps > Sleep Cycle > and enable all data here!
Also, go to the Sleep Cycle app > Profile > Apple Watch > automatic tracking > and make sure it is on!
Restarting the phone and watch is also a good thing to try!