I’m a huge fan of Borderlands so would recommend that and I’m also a huge fan of Halo, the Master Cheif Collection is an absolute bargain considering what you get. Your brother with the Xbox will need to get Game Pass of some sort to join in for any games that are not free to play. Halo Infinite is free to play and has a PvE game mode, if that tickles your fancy.
That initial screen shot is giving me serious Facing Worlds from Unreal Tournament vibes.