Well, it will depend on what you are trying to download directly to the SD card.
If apps, to run off the card, then you would need to follow the instructions I will include here. That said, it will only work if the manufacturer hasn't restricted the option. Which does happen.
If you are wanting to have anything else download directly to the card (and not apps) you would have to look inside the individual app that you are using to download through (browser, etc.,) and see if their settings allow for downloading to the card directly.
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.