I'm currently using my 2013 iMac 27" running Catalina in TDM connected to a 2015 MacBook Air running High Sierra.
However, TDM only works when I'm not logged into a user account on the Catalina iMac. Either log out, switch user (without logging out), or just don't log in at all - it all works perfectly. However, switching to TDM from a logged in user account in Catalina doesn't display anything - the screen simply goes dark, despite the other Mac recognising that there is a display attached (it shows up in Displays System Pref). This is my experience of it. FWIW I'm connecting through a Thunderbolt dock, rather than directly.
So it works, but you can't run the TDM Mac as a headless machine in the background (as you could in eg High Sierra). Shame, as I used to run my iTunes from an earlier iMac in TDM.
In my experience, the Catalina Mac can connect to another Mac in Target Display mode - and I see no reason why it wouldn't, despite Apple saying it won't work.