I got out of the Navy in March 2019, but do not have a W2 from the navy for those first 3 months that I was still in. Anyone know what to do?

You would need to contact the Navy regarding the missing W2. For now, there are options to consider.

1. You can file an extension to give you time to receive the missing W2 or
2. File the return as is for now and when you receive your missing W2, you can file an amended return.

Get it from DFAS

https://www.dfas.mil/militaryseparations/W2.html