You should be downloading all the needed files as per the Wiki instructions I linked to earlier. From your screen grab you're not doing this
On the page from which you downloaded Lazarus it says:
Requires at least macOS 10.12 or higher.
For older Macs use the Mac OS i386 version.
While you can use FPC 3.2.0, you need to re-compile it after making source code changes detailed in the Wiki.
However, in the interests of getting you up and running sooner, I suggest you do as the Sourceforge Download page says and use the i386 versions.
And, please, follow the Wiki instructions religiously and use the links provided there for downloads. I guarantee the Wiki instructions work. I have verified them myself on macOS 10.10 on a 2009 Apple Mac mini.