Yes.  All income received in 2019 is to be reported along with all 2019 W-2's received on the 2019 tax return.

What if I still haven’t received it? And the company states they sent it but I still have nothing. 

See this TurboTax Help explaining how to contact the IRS if you have not received your W-2 by February 15.

If you cannot get a copy of your W-2, then you may be able to file your return using a “substitute W-2” but you will not be able to electronically file your return.  To do this, you would need have your final pay stub from December and file using the numbers on that final pay stub.  See here.