How do I download the Security Update 2021-005 Catalina to my iMAC?

Manually download Security Update 2021-005 (Catalina) using Safari. Stop once download. Perform a Time Machine Backups. Restart in Safe Mode ( shift ) immediately at restart.

Once logged in - run the installer. Personal preference via Safe Mode - eliminates all third party software, extensions and fonts from loading and possibly interfering with the update process. IMHO

In System Preferences > Software Update click the small text that says "More info ..."

And you will get the following window, where you can install Catalina updates (and any other updates that also appear):

BTW, the recent "threat" and security update that is currently in the news is for iOS 14.8 for iPhones, not Macs running Catalina.

To access the recent security update macOS Catalina, click System Preferences > Software Update.

It may take some time while your Mac is booted up and running for it to recognize that the update is available. Once it does, the Software Update panel should display a red badge indicating the update is available to be installed.

EDIT - OR... what P. Phillips has posted above. 😉

Apple Logo on Desktop >> pop down menu >> Software Updates.

Apple rolls out updates gradually so that the servers don't get swamped. Give it a day or so and check again. It will show up below the Big Sur upgrade.