On an iPhone, downloaded files are typically saved in the Files app under the “Downloads” folder, accessible via iCloud Drive or “On My iPhone.” Photos and videos go to the Photos app, while music, ...
If you don’t see them by default, that’s because they’ve been hidden since Windows 8. To unhide them, open File Explorer ...
Since the Files app was released with iOS 11, it’s become a staple of how I use the iPhone and iPad. I don’t think it gets enough credit for helping bridge the gap between macOS, iOS, and iPadOS.