You have set up Two-Factor Authentication in order to enhance Admin access security, but aren’t receiving the email with the instructions on completing the setup.
If you have not configured the Sender email properly, or your domain has not been white-labeled in SendGrid, then the email would likely have ended up in the Spam folder.
If the email didn’t appear in your Spam folder, run this Mysql query to verify the email addresses have been configured:
select * from core_config_data where path like '%trans_email%';
If the email appeared in your Spam folder, click on the link in the email. If the link has since expired, try logging in again to repeat the process.
Once you have gained access, go to Stores > Configuration > General > Store Email Addresses and configure the email addresses.
php -r "mail(<your email address>,<subject>,<content>,'To: <sender email>');"
Check your Spam folder for the email. If the email appeared there, submit a support ticket to request the domain to be white-labeled in SendGrid.