my music did not transfer when i changed from iphone se 20 to iphone sx max

Music never transfers. If it was all purchased from iTunes you just download it from the iTunes store again on your phone; the track titles will be in the music app, you can just download them as you need them.

If you have music from other sources, such as ripped CDS or MP3s they should still be in the iTunes library on your computer; you just have to sync the new phone to iTunes on that computer.

Where is the music from? Bought directly Find Apple? Synced from a CD or other source?

How did you set up the new phone? From an iCloud backup? Using Quick Transfer?