It doesn't work for me on mac os big sur for some reason and comes up with the error: mindustry is damaged move to the bin.
Try downloading it again, it's probably corrupted. If not then idk because im not the developer (:
you just need to> go to: settings>security>apps from unknown sources(something like that)> in the bottom should appear the app you are trying to run.click on allow and thats it!!
Download the mac version instead of the windows version