If you haven't read Can't Hurt Me, I'd recommend that first. Not only does that book cover the more significant points of the rise of David Goggins, but I find that Never Finished is something like the appendix or denouement of that book.
Never Finished provides greater clarity on the life and perspectives of Goggins and refreshes some of the lessons of Can't Hurt Me for the world of 2023. It's a bit of a retread of the same territory with a few new tools in the mental toolbox to share, but Can't Hurt Me is far more compelling because you see his journey from overweight, depressed nobody in his early 20's to Navy SEAL and Ultra-runner.
I should also mention that it doesn't make sense to get either of David Goggins' books if you're not going to get it on Audible because there are mini-podcast episodes included between chapters where Goggins and his ghost writer elaborate on the premise of the chapters, which is very enlightening especially if you're not sure you're wrapping your head around the nature of the mental tool Goggins is trying to teach.
TLDR, It's Can't Hurt Me bonus content that still makes sense if you haven't read Can't Hurt Me, but you're definitely missing out if you haven't read Can't Hurt Me. Get it on Audible or not at all, I promise you it's worth it.