I'm trying to use keychain; however it's seems to be in a loop. Every device I have seems to be waiting for every other device I have to get "the code" AND my phone does not get a text message with a code at any time. I did check the my cell phone is in my iCloud record correctly.
Check out the article below to troubleshoot issues with getting the iCloud Keychain setup. Look through a few of the options and if you are still not getting it sorted out, then there are further support options within the article.