They didn’t! They essentially “held their breath” on land for short periods before going back into the water. Essentially the reverse of what a lot of land animals do – including humans! Over time they evolved to hold their breath longer and longer, which eventually evolved into a way to breathe air.
Fish biologist here: because fish could breathe air long before they left the water. In fact lungs are ancestral to all bony fish. In most modern ray finned fish those lungs have been modified into a swim bladder, while some more primitive ray finned fish, as well as most lobe finned fish like lungfish and tetrapods, retain the original lungs.
Now, you probably ask, why do fish need lungs? Because there’s a lot more oxygen in the air than in water. This is especially true when water is warm, there is lots of decaying organic material, or global oxygen levels are low.
Early bony fish used their lungs to get access to this supply of oxygen, providing them an extra advantage over other animals and fish in these lower oxygen habitats who couldn’t breathe air.
The ability to breathe air is so handy that many modern groups of fish which have transformed their lungs into swimbladders have secondary adaptations for getting oxygen from air.
Anyway, when fish moved on land, they were already well able to breathe air.
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