Brother DCP-L2520DW will not set up with new MacBook Pro

The latest driver for this printer appears to be for macOS 10.15 Catalina. For newer operating systems, Brother recommends AirPrint.

https://support.brother.com/g/b/downloadlist.aspx?c=us&lang=en&prod=dcpl2520dw_us_eu&os=10080

The Brother DCP-L2520DW is listed as a supported model in About AirPrint - Apple Support.

Generally speaking, there have been some reports about difficulties using USB-connected printers with the latest systems, so you may want to try AirPrint instead. The printer must be connected to the same network (Wi-Fi router) as your MacBook Pro.

If necessary, if a Wi-Fi network is not available where the printer is, you could carry out a test with an old/spare Wi-Fi router (almost any model should be OK) in order to set up a separate private network for AirPrint printing purposes. Only the local side (WLAN/LAN) of this router would be needed. The WAN/Internet port can be left unconnected.

Have you checked whether the printer has the latest firmware version?

Also, do check the Wi-Fi settings for both printer and Mac. A full power-cycle sequence may be worth testing as well. Power off the Wi-Fi router, the printer, the MacBook Pro and all other computers/devices. Wait two to three minues. Power on the router. Wait two to three minutes. Power on the printer. Wait a minute or two. Power on the MacBook Pro and all other computers/devices.