There is no need for loops, cursors or recursive CTEs... It's as easy as the following.

WITH 
        cte_n1 (n) AS (SELECT 1 FROM (VALUES (1),(1),(1),(1),(1),(1),(1),(1),(1),(1)) n (n)),   -- 10
        cte_n2 (n) AS (SELECT 1 FROM cte_n1 a CROSS JOIN cte_n1 b),                             -- 100
        cte_Calendar (dt) AS (
            SELECT TOP (DATEDIFF(DAY, '2012-01-01', '2020-12-31') + 1)
                CONVERT(DATE, DATEADD(DAY, ROW_NUMBER() OVER (ORDER BY (SELECT NULL)) - 1, '2012-01-01'))
            FROM
                cte_n2 a CROSS JOIN cte_n2 b                                                    -- 10,000
            )
    SELECT
        ID = DATEDIFF(DAY, '2012-01-01', c.dt) + 1,
        [Year] = YEAR(c.dt),
        [Month] = MONTH(c.dt),
        [Day] = DAY(c.dt)
    FROM
        cte_Calendar c;
GO

Or you can use it to populate a permanent table...

IF OBJECT_ID('tempdb.dbo.YMD', 'U') IS NOT NULL 
    BEGIN DROP TABLE tempdb.dbo.YMD; END;
    GO
    
    CREATE TABLE tempdb.dbo.YMD (
            ID int NOT NULL IDENTITY(1,1)
                CONSTRAINT pk_YMD PRIMARY KEY CLUSTERED (ID),
            [Year] int NOT NULL,
            [Month] tinyint NOT NULL,
            [Day] tinyint NOT NULL 
        );
    GO
    
    --------------------------------------------------------------------------------------------------------
    WITH 
        cte_n1 (n) AS (SELECT 1 FROM (VALUES (1),(1),(1),(1),(1),(1),(1),(1),(1),(1)) n (n)),   -- 10
        cte_n2 (n) AS (SELECT 1 FROM cte_n1 a CROSS JOIN cte_n1 b),                             -- 100
        cte_Calendar (dt) AS (
            SELECT TOP (DATEDIFF(DAY, '2012-01-01', '2020-12-31') + 1)
                CONVERT(DATE, DATEADD(DAY, ROW_NUMBER() OVER (ORDER BY (SELECT NULL)) - 1, '2012-01-01'))
            FROM
                cte_n2 a CROSS JOIN cte_n2 b                                                    -- 10,000
            )
    INSERT tempdb.dbo.YMD (Year, Month, Day)
    SELECT 
        [Year] = YEAR(c.dt),
        [Month] = MONTH(c.dt),
        [Day] = DAY(c.dt)
    FROM
        cte_Calendar c;
GO
    
    ------------------------------------------------------------------------------------------------------
    SELECT
        YMD.ID,
        YMD.Year,
        YMD.Month,
        YMD.Day
    FROM
        tempdb.dbo.YMD;
GO

Using the VBoka suggestion, try this:

create table calendar(
    id int identity(1,1) not null primary key,
    ano int not null,
    mes int not null,
    dia int not null
)

declare @startdate date, @enddate date, @num_days int
set @startdate = '2012-01-01'
set @num_days = 3287 --number of days bewtween jan 2012 and dez 2020 https://www.timeanddate.com/date/durationresult.html
set @enddate = dateadd(d, @num_days, @startdate)

while @startdate <= @enddate
    begin
        insert into calendar (ano,mes,dia)
            select year(@startdate), month(@startdate), day(@startdate)

        set @startdate = dateadd(dd, 1, @startdate)
    end

Using CTE and no datetime functions:

if object_id('Calendar_tb','U') is null
    create table Calendar_tb (
        id int identity(1,1) not null,
        [year] smallint, [month] tinyint, [day] tinyint
    )

declare @tb table (yy smallint, mm tinyint, dd tinyint);
with
CTE_y as (
    select 2012 as nyear
    union all
    select nyear + 1 from CTE_y where nyear < 2020
),
CTE_m as (
    select 1 as nmonth
    union all
    select nmonth + 1 from CTE_m where nmonth < 12
),
CTE_d as (
    select 1 as nday
    union all
    select nday + 1 from cte_d where nday < 31
)
insert @tb
select nyear, nmonth, nday from CTE_d, CTE_m, CTE_y

delete from @tb
where   (dd>30 and mm in (4, 6, 9, 11))
    or  (dd>29 and mm = 2)
    or  (dd>28 and mm = 2 and not
            -- leap year
            (yy%400=0 or (yy%4=0 and yy%100!=0)))

truncate table Calendar_tb

insert Calendar_tb
select * from @tb order by 1, 2, 3

select * from Calendar_tb

DECLARE @startdate datetime2, @enddate datetime2, @days int

CREATE TABLE #tbl_dates 
(ID int identity(1,1), 
[Year] int, 
[Month] int, 
[Day] int)

SET @startdate = '01/01/0001'
SET @enddate   = CONVERT(varchar(10),getdate(),101)
SET @days      = DATEDIFF(Day,@startdate,@enddate)+1

INSERT #tbl_dates ([year])
SELECT TOP (@days) NULL
FROM sys.tables a 
JOIN sys.tables b on a.object_id = a.object_id
-- a.object_id = a.object_id is on purpose.

UPDATE #tbl_dates 
SET [year]  = DATEPART(year, DATEADD(d,ID-1,@startdate)),
    [Month] = DATEPART(month,DATEADD(d,ID-1,@startdate)),
    [Day]   = DATEPART(day,  DATEADD(d,ID-1,@startdate))

SELECT ID, 
    [Year] = RIGHT('0000'+CAST([year] as varchar(4)),4),
    [Month], 
    [Day]
FROM #tbl_dates 
ORDER BY ID

/*
USE A TABLE WITH ENOUGH RECORDS TO HANDLE YOUR NEED (OR JOIN MULTIPLE TABLES). THERE ARE PROBABLY BETTER WAYS BUT TO KNOCK THIS OUT QUICKLY I JOINED MY sys.table to sys.tables ON object_id (a. = a.) TO GET 4,024,036 RECORDS. ON 12/05/2023 I NEEDED 738,859 RECORDS TO GO ALL THE WAY BACK TO 01/01/0001.
*/