if you were a w-2 employee, that leaves only one option to contact the Social Security Adm to see if they have a copy. I will say even with direct deposit it's surprising you didn't get paystubs. Perhaps as @VolvoGirl suggested you were being treated as an independent contractor. However, that's may not be the case since most employers would be reluctant to do direct deposit for an IC
https://faq.ssa.gov/en-us/Topic/article/KA-02501
if they don't have a copy which is possible since the iRS doesn't have a copy, you'll probably need to confer with a tax pro as to your best course of action.
before doing that, you could
contact the IRS by phone 800-829-1040 or schedule an appointment with the iRS Taxpayer Assistance Center (see below). You’ll provide the agency with your name, contact information, and Social Security number. You’ll also provide the name, EIN (Employer Identification Number), and contact information for your former employer, as well as your dates of employment and an estimate of wages and federal income tax withheld for the tax year
https://apps.irs.gov/app/office-locator/
