It depends on what kind of files you are talking about and and how you are downloading them.
If you are referring to Apps, then first you would have to turn the SD card into "Internal" storage versus the standard "External" storage it comes as and this can only be done if the manufacturer hasn't blocked the option on the phone.
If you are referring to other things, images, sounds, etc., then it would depend on the app you are using for the downloading. If you are going through Google Play Store, then usually you can't download direct to the SD card (unless you have made the change I mentioned first). Other apps ability to download to the card (browser, etc.,) would be changed in the individual apps settings.
How to turn external SD card into internal storage on "Marshmallow".
NOTE: Please be sure you start with a blank SD card. It needs to be blank because when the card is converted to "Internal" storage, it will be formatted (wiped) and encoded (making the cards data only readable by that device).
1. Go to device “Settings”, then select “Storage”.
2. Select your "SD Card", then tap the “three-dot menu“ (top-right), now select “Settings” from in there.
3. Now select “Format as internal”, and then “Erase & Format”.
4. Your SD Card will now be formatted as internal storage.
5. Reboot your phone.
NOTE: If you don't reboot the phone, many things may not work correctly, so make sure you do.