I was experiencing the same issue. Mainly when creating an app extension in an existing app.
I was able to consistenly solve it by doing the following steps:
Make sure that the app extension gets the .appex extension. XCode tends to set it to .app. You can do this under 'build settings' -> 'wrapper'.
Under the 'Build Phases' tab in your target, your app extension should be listed under 'Embed App Extensions'. If you don't see this section, you can enforce it by adding a normal app extension to your app (fe. action extension). The section will now be visible. Replace the dummy extension you just created with the Watch app extension.
Start the host app and then start the Watch app, it should be working now.