Turn your device on, keep it close to your phone, and open the Mi Home app. You will see a prompt. Tap "OK" to connect device.
If the prompt doesn’t appear, you can also add devices manually. Tap the plus in «My devices» and then select the device to be connected. If device you want to connect isn't there, tap «Add manually» at the bottom. Make sure your phone’s Bluetooth is on during the whole process.