All 3 years must be filed separately so start with the 2019 return ... mail it in with the W-7 for the ITIN. Once the ITIN is issued then complete and mail in the 2020 return and efile the 2021 return. Be aware that the ITIN could take several months to process but you cannot file any other returns without it. Then give the ITIN to the company doing the withholding so it can be done correctly ... they had to withhold at 30% because you did not have an ITIN on file.
