To copy and paste from a previous answer of mine:

I have a couple of previous answers that deal with your question, so I'll share them below. The issue with Wallis Simpson wasn't just that she was divorced, but the broader situation relating to her relationship to Edward.

Why was King Edward VIII's marriage to Wallis Simpson opposed by the Church of England while previous kings were seemingly allowed to keep mistresses?

Excerpt:

So when Edward VIII prepared to marry Wallis Simpson, the real issue was her sexual behavior, her divorce, and her origins. The Church of England reluctantly allowed remarriage after divorce, but frowned heavily on it, and as it is the state religion, he was expected to follow its publicly-visible tenets as closely as possible. Wallis was not only a divorcée (in a time when divorces were still fairly scandalous), but a double divorcée with two living husbands. She was also foreign and not a princess, where precedent was for English royalty to either marry foreign princesses or titled Englishwomen: Americans rich from trade did not come into it. The two had also been involved in a long sexual relationship of the sort that was acceptable between a prince and a mistress, but not a prince and a future wife; she also was believed to have slept with other people while she was in the relationship with him. Basically, Wallis Simpson didn't fit the expectations for an English queen to any degree, and the church was far too hidebound to accept the entire package - it was threatened by her, and there was no cloak of propriety that would cover all of the problems. The public wasn't confronted with Dorothea Jordan and Lillie Langtry as the consorts of their king but as actresses, whereas they would have seen and heard about Queen Wallis the Divorced very, very frequently. It's also important that the aristocratic and governmental class as a whole disapproved; he didn't abdicate for her just because of the church, but because pretty much everyone in power was against the match.

Did Edward VIII really believe he could have married Wallis Simpson and kept the throne?

Excerpt:

As a couple, Edward tried to be with Wallis as much as possible in a way that added to the anxiety. He was devoted to her to such an extent that it seemed to degrade his dignity and imply more unfitness for the role of king - waiting on her hand and foot, allowing her to scold and mock him, and often relying on her to interpret current events and paperwork for him - and many have theorized some kind of BDSM thing (because of course they have). Once his father died and he became king in January 1936, things got worse in the eyes of the old guard. Mainly this lay in Edward's decisions to modernize or democratize the monarchy by breaking established protocols when he felt like it; Wallis also had a tendency to take charge and make decisions or statements that were casual to the point of being tactless. This played very well in the couple's small society, but was not well-liked outside of it, and may have made Edward more ready to be rude in similar ways. It was also becoming clearer to the civil servants who ran the government with the king that he didn't really have the intellectual energy for the job, and even in early 1936 there were concerns about Wallis's access to state papers and closeness to German ambassadors.

But he was truly intent on marrying her and making her queen. About a month after the death of his father, Edward told Wallis's husband that he planned to be crowned with "Wallis at [his] side", and in April he told her that "my Prime Minister must meet my future wife." A few months later, Wallis got her divorce rolling. Cocooned in his high-flying social circle, Edward had no real idea that many people knew about the affair and found it ridiculous or shameful, and that divorces were still viewed with repulsion by the working and middle classes. By the time he brought her with him in the autumn to Balmoral - a place still very much associated with Queen Victoria, where the wider royal family would spend time together - it was clearer than ever that he planned to make her queen, and the snubs were becoming more pointed in response. Things got even worse when she actually appeared in court to win her divorce and blatantly lied about not having committed adultery herself (a necessary step for a woman initiating a divorce, and the woman had to be the one to initiate it to save any face afterward), which upset the public deeply - particularly women, who saw it as a double standard that wouldn't be available to them in the same-but-not-royal circumstances. The British press had kept the details of the entire affair relatively hushed up, but they were starting to find it impossible.

And onto your specific subquestion: But why is it that Henry VIII had several marriages? Couldn't have Wallace Simpson had her annulled?

Getting an annulment is not just like ticking a different box on the divorce form - it means that an authority has agreed that the marriage never really happened. Henry VIII was able to grant himself annulments to Catherine of Aragon and Anne of Cleves because he was the head of his church. The pope had already refused to annul his marriage to Catherine because it didn't fit the requirements for annulment: the previous pope had given them a dispensation in order to get married, so God was clearly okay with it and believed that it definitely happened. Under Catholicism and Anglicanism, annulments could usually only be had if the marriage were against church laws in some way, like because the husband and wife were too closely related, one of them didn't consent to the marriage, or one was underage.

Wallis had been divorced the first time in 1927, and that couldn't be taken back, so getting an annulment to her current marriage wasn't even going to solve the problem - she would still be a divorcée. But then, her current marriage couldn't have been annulled either, because none of the rules of annulment applied. And to reiterate from my first quote: there's a double standard between a king's behavior and a queen consort's behavior. (This is male privilege in action.) A king can do whatever the hell he wants, sexually, but the reputation and past of a woman marrying into the royal family becomes a huge deal.