I e-filed my return and it was approved, however, I received an additional W-2 from 2018, in the mail. Do I need to file an amendment  to this years return or separately?

A W-2 dated 2018 would need to be entered on a 2018 tax return and not a 2019 tax return. If you filed a 2018 return that did not include the W-2, you would need to amend the 2018 return. 

See this article for assistance: https://ttlc.intuit.com/community/amending/help/how-to-amend-change-or-correct-a-return-you-already-...

No I didn't file at all for 2018 I didn't have the W-2 the company went out of business but I have it now I want to file it I should get a return what should I do

To file a return for a prior tax year

If you need to prepare a return for 2016, 2017, or 2018 you can purchase and download desktop software to do it, then print, sign,  and mail the return(s)

https://turbotax.intuit.com/personal-taxes/past-years-products/

Remember to prepare your state return as well—if you live in a state that has a state income tax.

When you mail a tax return, you need to attach any documents showing tax withheld, such as your W-2’s or any 1099’s.  Use a mailing service that will track it, such as UPS or certified mail so you will know the IRS/state received the return.

Note:  The desktop software you need to prepare the prior year return must be installed/downloaded to a full PC or Mac.  It cannot be used on a mobile device.

If you are getting a refund, there is not a penalty for filing past the deadline.  If you owe taxes, the interest/penalties will be calculated by the IRS based on how much you owe and when they receive your return and payment. The IRS will bill you for this; it will not be calculated by TurboTax.

https://ttlc.intuit.com/questions/1900990-how-do-i-file-a-prior-year-tax-return