W-2's are filled out by the employer and mailed to the employee with a copy to the IRS. W-2 Forms are forwarded if you have a mail forward on file within the last six months with the United States Postal Service. These forms are not mailed by the government.
If you did not receive your copy, contact your employer who can create a "duplicate", which a copy must also must be sent to the IRS.
If you are not a direct employee such as a sub-contractor, you will receive a 1099 form instead. If you work for various companies and earn a certain amount for that year, those companies send you 1099's. Various retirement plans also send you 1099s.
Pay stubs are not a legal substitute. Those can or will get you a payday loan only.