To head out means to leave a place and start going somewhere. When your family heads out for vacation, you pack the car and begin your journey. When practice ends and your friend says “I'm heading out,” they're getting ready to go home.

The phrase suggests purposeful movement in a particular direction, not just wandering around. You might head out to the store, head out on an adventure, or head out early to avoid traffic. It's more casual and active than simply “leaving.” When someone says “Let's head out,” they're ready to go right now.

You'll also hear people say they're heading out the door when they're in the final moments before leaving, or that they headed out at dawn to describe when they departed in the past.