Have you checked fuses in engine bay as well as under dash ( you did not say what car

)
Assuming you did:
Get a test light / multimeter.
Unplug headlight.
If 3pin: check one is live with dip and the other with main. Next connect testlight to positive battery terminal and check remaining terminal on headlight plug (to check earth is ok)
If 2pin: Similar, but just check feed / earth.
Sidelights tend to be fused separately anyway

typically nsf sidelight and osr tailight etc , headlights will be fused separately.
I would bet it is a fuse (remove and inspect them if in doubt) or corrosion on the connector or less likely a faulty new bulb.
Andy.
91 205D-Turbo, gone but still missed
02 106D, TUD5B, gone but not really missed apart from the MPG