DIAGNOSIS The most likely culprit is your router's security setting. This printer can be finicky with certain Wi-Fi bands or encryption types.
FIX First, do a full network reset on the printer. Go to Settings (wrench icon) > Network > Reset Network Settings. Then, try the setup again, but manually. On the printer's panel, choose Network > Wireless > Setup Wizard. Select your network and carefully type your password using the on-screen keyboard. The key is to make sure you're connecting to the 2.4 GHz band of your router, not the 5 GHz. This printer doesn't support 5 GHz Wi-Fi.
IF THAT DIDN'T WORK Temporarily change your router's security to WPA2-PSK (AES) only. Sometimes mixed-mode (TKIP/AES) or newer WPA3 can cause a handshake failure. You can change it back after the printer connects. Also, during setup, keep the printer within 10 feet of the router with a clear line of sight.
HEADS UP If you've recently changed your Wi-Fi password, the printer won't auto-reconnect. You have to go through the Wireless Setup Wizard again on the printer itself to input the new password. Your computer settings won't update it.