I have a TUF GAMING X570-PRO WIFI II mobo and the onboard Wifi is very slow.
I am getting about half the speeds I get on my laptop.
I am using the latest driver.
Is there anything I can do? Or should I connect via ethernet?
Do you have your antenna connected to the board? The antenna is mandatory for good performance.
Ethernet is generally always the better choice if it's practical and reasonable to run a cable to your router. It's lower latency than WiFi, and gives consistent and predictable performance. WiFi is subject to attenuation, congestion, and interference; all of which compound together to significantly reduce the speed below the headline speed that the card & router could theoretically achieve. Your 2x2 AXE WiFi card on your motherboard has a headline speed of 2402 Mbps on 5 GHz with a 160MHz channel (or 1201 Mbps with a 80 MHz channel), but that requires perfect conditions and is only half-duplex (i.e. can't transmit and receive simultaneously). Your 2.5G Ethernet port is 2500 Mbps full duplex (i.e. it can theoretically do 2500+2500 RX+TX simultaneously) and should hit that speed every time (if there's something on the far end which can generate that much traffic).
Depending on which "latest driver" you have, there may be a newer driver you could try. Your board's downloads page has 18.104.22.1685, but you can get 22.214.171.1241 from MoKiChU's [DRIVERS] AMD|MediaTek WiFi/Bluetooth page. It's possible you may already have that via Windows Update, I'm not certain what version it might offer for the RZ608 / MT7921K.