When musicians are recording in a studio, it is generally recorded one instrument or voice at a time. The musicians listen to the already recorded parts of the track so they can play along. If the musician is recording the first bit of the track before there are other instruments, they may listen to a “click track” which is just a metronome which allows them to keep good time.
When musicians are playing in an orchestra, they are all playing at once and can hear each other without headphones. Unlike smaller bands, orchestras are usually recorded all at once, instead of one instrument at a time, since that would take too long with so many instruments.
In some situations, like playing on a stage, it can be hard for musicians to hear each other. In these cases, musicians wear special earbuds with a feed from the soundboard, so they can hear themselves and their band-mates over the other noise on stage. You can spot these; it makes the musicians look like they have hearing aides.
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