The system updater built-in to iOS can only download and install the latest version. But you can manually install other versions, within limits.
This web site can be used to download firmware images from Apple’s CDN server: https://ipsw.me/
Note that Apple stops signing firmware images soon after a new version ships, so if you want to install an iOS 14 image, you will need to do it right away.
Once you have the image, connect your phone to your computer with a USB cable. Bring up its sync page in the Finder (modern versions of macOS) or iTunes (Windows or old versions of macOS). Instead of clicking “Check for Update” (which will try to install the latest version), option-click it. You will be presented with a file-open dialog where you can select the image file you want to install.
Note that the Finder can only install “signed” images. That is, those where the embedded certificate can be validated by Apple’s servers. This is usually only the most recent version, but the previous version is usually available for a few days after a new release. If your image is not signed, you will not be able to install it this way.
I think it is possible to install an unsigned image, but it can’t be done with the Finder/iTunes. Some web searches bring up documents that describe a procedure, but I wouldn’t try it unless absolutely necessary. It looks tricky, and if it fails, you may be forced to restore from a backup (installing the latest iOS in the process) in order to recover.