Go to Appearance > Customize > Header > General to setup.

If you want all pages to use the same header: Select Header Desktop and choose a header for all sites.

In case there is still a specific page currently using another header, you need to remove that header currently used on the specific page.

Setup header for specific pages:

Go to edit the page and scroll down to the Header/Footer Settings section -> Header Layout and select a specific header or remove the header currently used.