An Air Carrier Captain reported while descending on an approach they received a Ground Proximity Warning and climbed back to the appropriate altitude.

Narrative

I was the PM (Pilot Monitoring) 40 miles from ZZZZ at 20000 ft. Asked ATC for lower. Cleared to descend to 4;000 ft. and cleared for the VOR DME 1 Runway XX approach. We were at 16;000 ft. and approximately 10 miles from the VOR when I suggested gear down. Gear selected down at approximately 14;000 ft. and 240 kts. Managed descent to 1;600 ft. and armed the approach. Prior to making procedure turn inbound at 5;000 ft.; I asked Approach for present heading for two miles. 'Cleared as requested'. FO (First Officer) selected heading but 1;600 ft. remained in FCU with V/S defaulted at 2;700 ft. per min. Speed was selected to 200 kts. I suggested turning left direct ZZZZ when it was obvious we were no longer high on the approach. I called out low altitude at approximately 2;200 ft. and asked PF (Pilot Flying) to climb back up to 2;500 ft. We received a 'TERRAIN AHEAD' warning when we were close to 1;600 ft. Day Visual conditions and cleared for the visual at this point. Could see terrain at all times. Climbed back above 2;000 ft. and commenced approach. Stable and configured by 1;000 ft.We were kept very high by ATC. Bad descent planning and bad descent technique. First flight for the CA (Captain) for several months due to check pilot duties in the simulator. FO tired from early wake up call; and still new to Company. Ask ATC for lower sooner. Prepare and brief for slam dunk. Communicate better between pilots. Use better techniques for descending fast.