icloud not sending text verification to my phone when trying to login on mac

Open system preferences > click on Apple ID icon > under password and security click on edit ( this is for Mac OS catalina 10.15.4 ) , for previous versions of Mac you have to open system preferences > click on iCloud

Can you see the trusted numbers and are they verified ( it depends upon you to add a mobile number or a landline number to get the code ) , if they are not added and verified click on plus sign add them and verify them , if you use landline number verify it .

It will prompt to enter admin password .

Enter the number , use any desired option and click on continue .

When ever you enter iCloud it will prompt to enter admin password , don't enter it rather click on cancel , enter Apple ID and password manually and click on enter key .

A map window will appear , click on do not allow , next prompt will be to change apple id password , click on don't change , next will be a six digit code displayed , if the iPhone and Mac are signed in with same Apple ID and password , the code will be displayed on the trusted device that is been added ( if you had two two device mobile number / landline number ) , there is choice to click on any one to get the code .

Suppose the Mac and iPhone are not signed with same Apple ID and password on the same network , yet the trusted numbers are added / verified .

If you click on didn't get a verification code , again click on use phone numbers , option appears verify you identity , click on right arrow the code goes to the desired number .

Read these articles https://support.apple.com/en-in/HT204915

https://support.apple.com/en-in/HT204974

The screen shot you posted is from Mac system preferences > iCloud , you have signed out the Apple ID and password completely .

Again enter the Apple ID and password and follow the upcoming steps .

And as per the article https://support.apple.com/en-in/HT204152

If you can't use two-factor authentication with your account, for example if your device uses iOS 8 or OS X Yosemite or earlier, you can keep your Apple ID secure with two-step verification instead. 

Which SMS numbers should I verify for my account?

You're required to verify at least one SMS-capable phone number for your account. You should consider verifying all SMS-capable phone numbers that you normally use with your iPhone or another mobile phone. You should also consider verifying an SMS-capable phone number used by someone close to you, such as a spouse or other family member. You can use this number if you're temporarily without access to your own devices.

You can't use landline or web-based (VOIP) phone services for two-step verification.