Navigate to https://github.com/macvim-dev/macvim/releases/latest and download MacVim.dmg.

Open MacVim.dmg, and then drag the Vim icon into the Applications directory, as can be seen in the following screenshot:

Depending on the security settings of your Mac, you might be greeted by an error when navigating to the Applications folder and trying to open the MacVim app, as demonstrated in the following screenshot:

Open your Applications folder, find MacVim, right click the icon and select Open. The following prompt will pop up:

Now hit Open, and MacVim can be opened as usual from now on. Give it a shot: