Recommendation

Use hyphens not underscores in your page names, so Google can separate the words in the filename.

Do this for new sites - the impact is too small to make worth doing on existing sites.

Sources

From Woorank:

Using underscores in your URL makes it hard for search engines to determine your site’s relevance to a search. Google sees hyphens as word separators while underscores are ignored. So the search engine sees https://thebuckfeverunderground.co.za/music/last_days_of_beautiful/ as all one word. Use hyphens in your URLs instead: https://thebuckfeverunderground.co.za/music/last-days-of-beautiful/.

We’ve detected underscores in your URLs. Change underscores to hyphens to maximize your SEO.

From SEO Basics: Hyphen or Underscore for SEO URLs? blog post.

The short answer is that you should use a hyphen for your SEO URLs. Google treats a hyphen as a word separator, but does not treat an underscore that way.

Google treats and underscore as a word joiner — so red_sneakers is the same as redsneakers to Google. This has been confirmed directly by Google themselves, including the fact that using dashes over underscores will have a (minor) ranking benefit.

Matt Cutts stressed that the ranking difference between using dashes or underscores is minor — but then, that means there is a ranking difference.