This is probably overkill to say but to be sure:
Never trust any information from SMS, or from a telephone call (or email) - both SMS and CallerID can both be trivially spoofed, and frequently are.
If they have e.g. found out what bank you use, they can make the number look like it came from your bank ("See, this number is listed on the back of your card" is a common approach)
If you get a call or SMS requiring followup, then look/ask for a reference number and a publicly listed number you can call back on - _and verify this number is listed on the organisation website before calling_, ideally on a telephone you know they can't "hold the line open" on (less of a problem now people mostly don't have landlines). It's okay to "engage" with a caller as long as you are careful to not give up any personal information - especially in cases where it's a bank they should be fine with you refusing security until you can call back.
Don't ever relay information between channels e.g. if you _think_ you are talking to the bank, don't relay the contents of a 2-factor SMS you get, even if they say they are "sending" one to you. There have been cases where scammers have called the bank at the same time as calling the mark, so that when the scamee called the bank on a different line the bank verified that "they" were on another line.
In reflection, it's kind of crazy the things you have to be suspicious/paranoid and aware of, I'm not surprised that even competent/intelligent people get scammed, it often seems that the infrastructure that we rely on for trust is even flimsier than you could imagine.
Probably there are more extreme cases where these general rules aren't enough but probably unless you are a big CEO or something you are below the targeting threshold (see e.g. https://nakedsecurity.sophos.com/2019/09/05/scammers-deepfak... which will probably only become easier over time). A healthy skepticism about complicated workflows is probably helpful.