Check Mac connection to iPhone

To see the iPhone in the Finder sidebar,

• The Mac must be running Catalina or later. (In Mojave and earlier, you use iTunes instead of the Finder.)
• The Sidebar section of Finder Preferences or Finder Settings must have a checkmark besides "[X] CDs, DVDs, and iOS devices".
• The iPhone and Mac must be connected via cables and adapters that support data transfer (some "charging cables" don't have the data pins connected), or they must be on the same Wi-Fi network, (To use Wi-Fi for "manual" synchronization, you must first have enabled this option when using a cabled connection.)

What does “connected” mean exactly?

If it means you connected the two using a USB cable, open Finder on the Mac and look for the iPhone in the sidebar.