The connection in this game is actually pathetic. It never works the first time and each time my friends and I decide we want to farm raid bosses, it take us 5-30 minutes to get in the same damn game. Let me be clear- this is NOT on our end. We can hop from game to game and never have a problem connecting. This is 100% on gearbox’s end. In fact, I remember the game having these problems and launch and it’s still not fixed a year later.
If you don’t connect first time, have each person go into their network settings and set the mode to “Private” ESPECIALLY THE HOST. Then switch back, and try again. If that doesn’t work, you can always try joining a random open game and immediately leaving as soon as you connect - an extreme and annoying fix, but if nothing else works that often does the trick.
All the gory details are buried in this thread: