I moved your post to the Community category as you are asking the community for assistance, and your question isn't specific to Sea of Thieves.
With that said, there are a number of decent headsets that are inexpensive, depending on what your price range is and what sort of functionality you are looking for.
HyperX has an under $50 option, the Cloud Stinger, that is very popular and reliable with decent performance.
The Logitech G430 is also a decent option at $40 on sale.
I personally have the Turtle Beach XO Four Stealth headset, which I was able to get on sale at the time for under $100 (currently its around $80 new, even less refurbished, if you can find it), and this has been an exceptionally great headset for the few years I have owned it. It is wireless (from the console) and has a great control adapter and really great audio range for the price. A lot of my friends also have had this headset.