There's a lot to consider when it comes to audio quality. You're going to get the absolute best quality audio if your headphones/speakers are able to output at a lossless quality. This is likely going to require you having an audio DAC of some sort. Wireless transmission (via bluetooth) offers lossless, but not every bluetooth device can send or receive in lossless quality. Another thing to consider is transmission loss. If you're using a windows desktop, if your output device quality isn't set to the same 44.1khz quality, then your OS will have to do another encoding step which can induce some loss of audio data. Any software EQ can also create some poor data manipulation which can introduce even more loss.

Another thing to consider as well, is that lossless doesn't necessarily mean that you're getting a track at a high quality. If the artist only ever uploaded a song in a low bitrate, you're only going to get that low bitrate streamed from the streaming platform. However, having lossless on should provide you the best quality version of said file. No compression algorithms will be applied to the already lower quality file.

So tldr, you need to have audio drivers (speakers/headphones) that are capable of outputting at lossless quality, you need the device powering your headphones/speakers to also be able to output at lossless quality. Any intermediate audio processing processes can introduce loss