Hold Option-⌘-R at boot. That should fire up internet recovery with the option of the latest compatible macOS.
Shift-Option-⌘-R at boot should bring you to the version which came with your Mac.
Note that this will require you to connect to a wired or wireless network and can take a while. Since you are downloading the files off the internet.
Another option is to use Diskmaker X to create a bootable USB installer. Download the appropriate version for the macOS you want. It should also give the option to download the Catalina installation files. Once created hold the Option key when booting to select the USB flash drive.