To earn the Worthy trophy in God of War you need to upgrade Kratos' primary weapon, the Leviathan Axe, to its maximum.
The Leviathan Axe starts at Level 1, and there are five further levels to upgrade it to.
You will come across a resource called Frozen Flame at four specific points in your playthrough of the main quest, usually after defeating a major enemy. I won't spoil those moments here, just make sure to pick up all loot that enemies drop or check in the Dwarves' shops for loot you have missed - it's the last tab in the shop menu.
When you have a Frozen Flame in your inventory you will be able to upgrade the Leviathan Axe in the Upgrades menu at the Dwarves' shops (second tab).
If you just follow the main quest though, you'll have one more Frozen Flame to find - it's in Niflheim, a realm you can only reach when you find the runes Atreus needs to translate the realm's language. Once you get there, you'll need to earn 5000 Mist Echoes in the realm's gauntlet and unlock the 5000-echoes chest in Ivaldi's workshop. In here you'll find Chilling Mists - take this back to Sindri at Niflheim's entrance, who can convert this resource into the final Frozen Flame. Upgrade the Axe with your hard-earned Frozen Flame and the trophy should appear.