Welcome to Android Central! Do you mean that when you open the Downloads app, you don't see your download? Which app were you using to download the file? Some apps don't download files to the Download directory, but rather to a special directory for that app (which might take some digging to find).
Use your My Files app to look in the Download directory--do you see the files there? Sometimes files can be seen there but not in the Downloads app, which I think can happen if the app didn't use the system's Download Manager.