Watch out for the platform trap: some wireless headsets only work on one console. Every pick below says exactly where it works.
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Questions
Will a PS5 headset work on Xbox?
Usually not wirelessly. Xbox uses its own wireless standard. Buy an Xbox-labeled version (like the Nova 5X) or a wired headset that plugs into the controller.
Do I need surround sound for GTA 6?
It helps you hear where sirens and gunfire come from. PS5 has built-in 3D Audio that works with most headsets.