The Raspberry Pi supports both audio output over either HDMI (default) or the 3.5mm audio jack (headphone jack).
To change the output mode, follow these steps:
- Navigate to your screen.
- Select "Manage Screen".
- Select "Advanced".
- Set "Audio Output" to "3.5mm jack".
- Press "Save".
Please note that this setting may take 15 minutes or so to go into effect.