Pop the bulbs out and inspect the filaments, if there is any blackening to the glass or the filament is obviously damaged then we have found the culprit. Try swapping the bulbs from the working side over to see if they work before spending money on new ones. When refitting, make sure the connectors are well fitted and try them again. Then consult your manual to see which fuse relates to your headlights. It is possible that there is a different fuse for each side, but unlikely, but it's worth a check. After all that, if you haven't found the problem it's time to start inspecting the wiring to see if it has been damaged anywhere.
Note of caution : Don't touch the glass of halogen bulbs, and if you do then clean them with alcohol wipes. They run at extreme temperatures and the grease from your fingers can cause them to shatter.