Ensure your Bluetooth device is switched on and ready for connectivity.
Open the Settings app and click on the Bluetooth item on the left menu.
Make sure that Bluetooth is turned on by checking or moving the slider at the top of the window.
Nearby devices will be shown under Devices.
Click on the device that you would like to connect to. You may be prompted to go through a pairing process. Once the connection is established you will see a dialog like the one below.
If you have issues connecting to a Bluetooth device, here are some things to try:
Give it a moment. Sometimes a Bluetooth device can take longer than you would expect to show in the list of devices. If it's not immediately visible while pairing, try waiting just a bit longer in case it appears.
Restart your computer. Sometimes Bluetooth devices will not appear until you restart, which forces the OS to re-scan for devices.
Ensure your Bluetooth device is in pairing mode. This is highly dependent on the specific device, but often requires holding the power or pairing button down until there is a chime or flashing light.
Ensure previously-connected devices are off. Some Bluetooth devices agressively try to reconnect to previouly-recognized devices, which can cause problems when pairing with Endless OS. If you've previously used this Bluetooth device with another device like a mobile phone or other computer, try turning Bluetooth off on those other devices or powering them off while you try to pair.