Upgrading from Catalina on a MacBook Pro 2019

To upgrade to macOS 14.x Sonoma, you should be able to go to Software Update within System Prerences.

If you don't want to upgrade to Sonoma, but want an intermediate OS Big Sur, Monterey, or Ventura, then you can access those installers using the instructions & links in the following Apple article:

How to download and install macOS - Apple Support

Make sure to have a good backup before attempting to upgrade macOS just in case something goes wrong or you find you don't like using Sonoma. You should always have frequent & regular backups anyway because there are so many new ways to permanently loose access to data on the internal drive with all the new hardware, software, and security features.

You can upgrade a 2019 MacBook Pro as far as the current version of macOS – Sonoma.

In general, there's an advantage in running one of the "most recent three" versions of macOS – currently Monterey, Ventura, and Sonoma. Those are the ones that get the most "love" from Apple and third-party vendors in terms of security updates and being able to run current software.

Sometimes there is an advantage in sticking with an older operating system. I believe that 15" 2019 MacBook Pros originally shipped with Mojave. Mojave can run 32-bit applications, and for some people, that would be a reason to stick with it. But you're on Catalina, which can't run them. I don't see any advantage to running it or Big Sur.

I would suggest upgrading to Ventura or to Sonoma.

How to download and install macOS - Apple Support

system preferences > software update

wait for the display to update, on the order of a minute

is the choice offered (if any) acceptable?