Preheat a grill or grill pan over medium-high heat.
Season steaks with salt and pepper, then grill steaks for about 6–7 minutes per side or until cooked well done. Remove and let rest.
Brush watermelon slices lightly with olive oil and grill for 2–3 minutes per side until slight grill marks appear and watermelon is warm and slightly caramelized.
In a small saucepan, bring Worcestershire sauce to a gentle simmer for 5 minutes, stirring occasionally, to slightly reduce and thicken it.
Fry eggs sunny side up in a nonstick skillet until whites are set but yolks remain runny. Season with salt and pepper.
Cut each steak into sandwich-size pieces. Layer a grilled steak piece, a grilled watermelon slice, and a sunny side up egg. Drizzle some reduced Worcestershire sauce over the watermelon and egg layers.
Stack the other steak piece on top to form a sandwich and secure with toothpicks.
Serve immediately while warm and enjoy the unique blend of smoky, sweet, and savory flavors!