Since the official Poor Man’s TSQL Formatter is not support the latest version SSMS v19 yet, it needs a little bit tweak to make it work:
Assuming that previous version (2014-2018) has been installed before
Download the PoorMansTSqlFormatterSSMSPackage.Setup.1.6.16.msi from https://poorsql.com/
Install the MSI file, then locate to the extensions folder of old SSMS version, for me, the location is: C:\Program Files (x86)\Microsoft SQL Server Management Studio 18\Extensions
Copy the file PoorMansTSqlFormatterSSMSPackage.pkgdef from above location to C:\Program Files (x86)\Microsoft SQL Server Management Studio 19\Extensions.
Restart SSMS v19, two menu items: Format T-SQL Code and T-SQL Fomatting Options… should be shown under Tools menu
Enjoy it!