I'm running Python 3.8 and Mac Os Catalina 10.15.1 When I click a .py file, it will open the shell + editor, However if I try to open a new .py file from my finder window it won't open. The only way I can open another file is through the shell by clicking file - open. I downloaded a folder with containing .py files from the web and I have no issue opening those files from my finder window. It appear to be only files created in my computer.

Thanks for the report.  If I understand correctly, the issue you are seeing is that, when IDLE is already launched and you double-click on a .py file in the Finder, that .py file does not open in IDLE, even though it will open in IDLE if IDLE is not already launched.  This does seem to be a change in behavior between macOS 10.14 Mojave and 10.15 Catalina. Further investigation is needed.

Of course, launching files in the right application is always somewhat dicey in macOS when there is more than one application claiming an association with a particular file type, like for .py files, so it is always safest to open files from with the app itself, for example, with IDLE's File -> Open menu option.

With Mohave, double click on a file name in Finder Documents opens the file in an editor and then opens the shell.  Double click on another file opens the file in another editor (but not a duplicate shell).  These are .py files I saved from IDLE.

Ramon originally posted this on Stackoverflow, where it is slightly off topic.  I suggested posting it here to at least have it documented and see what Ned says and for the off chance that there is something we can do.

I wonder how a downloaded file could be different from a saved file.  Are file permissions as revealed by 'ls -l' in the directory in Terminal the same?