Authenticity codes

When you were sent an authenticity code from anywhere you're trying to log into, where can you find it in your phone if they say they sent it by your phone number? I assumed it would be in text messages but it's not always there, nor is it always in emails. Most of the time I can't find it anywhere. if you can help me please do so. This is so irritating when I can't find a code. Thanks very much.