I had 3 jobs last year. One of them is from FedEx and they did not send me any W2 form. I tried to contact them many times but failed to obtain it. What should I do?

First, file an extension (form 4868). Although you still owe any tax due on May 17th (***June 15th in Texas, Louisiana, and Oklahoma), at least you have bought yourself some time to find your W-2 and do your return. Please see this TurboTax FAQ on how to file an extension.

NOTE: filing an extension doesn't mean you HAVE to wait to file, it just means that you won't be hit with a non-filing penalty if you miss the due date.

One option to get a copy of your W-2 is to ask your employer. But you've tried that.

If you can’t get a copy from your employer, you can try to get the data from the copy of the W-2 that your employer sent to the IRS months ago. You may be able to get it online, if you know some answers to questions from your credit report (this is how the IRS identifies you).

Ask for the Wage and Income Transcript for the year ending 12/31/2020 at Get Transcript.

while the alternate advise makes sense, FEDEX is a big company and I would be surprised if you couldn't log on to the benefits portal at FEDEX and find it there, even if you are an ex-employee.