will My Passport work with OS Catalina?

Without any context that is a little difficult to answer. As dialabrain said if it is formatted correctly it should, however we have no idea how you intend to use it or if you are sharing it with another computer so we cannot coach you.

If your question was worded as "I use a WD Passport with my Dell laptop, I am now using a Mac and want to use the Passport as my Time Machine Backup drive, will this work?" Then we could provide you with a more accurate answer.

If you mean a WD My Passport drive, yes, assuming it's formatted correctly.