It depends on what you are trying to download. If it is just a file (photo, video, etc.,) then you can just go into the settings of the app you are downloading it through and set the settings to save to the SD card. If the app it is being downloaded through doesn't have that option, you may need another app.
Now, however, if you are trying to download Apps to the SD card. That is very different. You would need to 1. Have a phone that is running, or can be upgraded to, Android "Marshmallow" and 2. The manufacturer would have to have not restricted the option to make this change on that device. Which does happen.
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.