Do I need to turn off my Ethernet connection to set up the printer over Wi-Fi?
You need to turn on your computer's Wi-Fi while setting up the printer, but you do not necessarily need to disconnect the Ethernet cable. However, if setup cannot be completed, temporarily disconnecting the Ethernet cable to complete setup over Wi-Fi may help. (Page 3)
From the official HP Laserjet Mfp M139e M142e Printer manual, page 3
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