With version >1.5.0 you can do something like this:
import discord
intents = discord.Intents.default()
intents.members = True
client = discord.Client(intents=intents)
@client.event
async def on_member_join(member):
await member.send("Welcome!")
You also need to enable intents in the developer portal in https://discord.com/developers/applications. Bot > Bot > Presence & Server Members Intents > Toggle On