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Because the DDJ-200 does not feature an audio interface, you need to use the one built-in to your computer, or another device. If you're using the built-in output, it would likely default to only having the master output enabled because it's a single stereo output. In that case, you'll need to set the outputs to one side of the stereo to be the master, and the other for the headphones, using the included splitter to put audio from each side to the master and headphones:
