Most probably you have
gpg-agent installed in a 32-bit version. macOS 10.15 only supports 64-bit programs, so it tells you the CPU type in the executable is not supported.
The fix is to reinstall gpg-agent in the 64-bit version.
You can check the type of executable by running the following in the Terminal:
Most probably it will say:
/usr/local/bin/gpg-agent: Mach-O executable i386
Here "i386" means that it is compiled for a 32-bit CPU architecture.
After replacing gpg-agent with the 64-bit version, you should see an output like:
/usr/local/bin/gpg-agent: Mach-O 64-bit executable x86_64