A normal Unity script (class) that contains helper codes for checking, downloading and saving files locally.

FileHelper.cs

using System;
using System.Collections;
using System.IO;
using UnityEngine;
using UnityEngine.Networking;

namespace ReGaSLZR.IO
{

    /// <summary>
    /// FileHelper.cs
    /// 
    /// A normal class that contains helper codes for 
    /// checking, downloading and saving files locally.
    /// Operation uses a Unity Coroutine and so lives on the Main Thread.
    /// Just create an instance of this and you can use it immediately.
    /// 
    /// <author>Renelie G. Salazar</author>
    /// </summary>
    public class FileHelper
    {

        public const string SAVE_PATH = "/VideoLibrary/";

        #region Client Impl

        private bool IsFileAvailableLocally(string path) => File.Exists(path);

        private string GetSavePath(string filename)
        {
            string tempPath;

#if UNITY_EDITOR
            tempPath = Application.dataPath;
#else
            tempPath = Application.persistentDataPath;
#endif

            tempPath += SAVE_PATH;

            if (!Directory.Exists(tempPath))
            {
                Directory.CreateDirectory(tempPath);
            }

            return tempPath + filename;
        }

        private void SaveFile(string fullPath, byte[] fileDownloaded)
            => File.WriteAllBytes(fullPath, fileDownloaded);

        private IEnumerator C_DownloadFile(string url, string fullLocalPath,
            Action<string> onSuccess, Action onFailure)
        {
            UnityWebRequest www = UnityWebRequest.Get(url);
            yield return www.SendWebRequest();

            if (www.result == UnityWebRequest.Result.ConnectionError)
            {
                onFailure?.Invoke();
            }
            else
            {
                SaveFile(fullLocalPath, www.downloadHandler.data);
                onSuccess?.Invoke(fullLocalPath);
            }
        }

        #endregion //Client Impl

        #region Public API

        /// <summary>
        /// Checks if the file is already stored locally.
        /// If so, the full local path is returned to the caller.
        /// If not, the file is downloaded and stored locally, then returned to the caller.
        /// </summary>
        public void DownloadFileToLocal(MonoBehaviour caller, string url, string fileName, 
            Action<string> onSuccess, Action onFailure)
        {
            var fullLocalPath = GetSavePath(fileName);
            if (!IsFileAvailableLocally(fullLocalPath))
            {
                caller.StartCoroutine(C_DownloadFile(
                    url, fullLocalPath, onSuccess, onFailure));
            }
            else
            {
                onSuccess?.Invoke(fullLocalPath);
            }
        }

        #endregion //Public API

    } //end of class

} //end of namespace

Sample usage:

        private VideoPlayer videoPlayer;
        private FileHelper fileHelper = new FileHelper();

        private void LoadVideo()
        {
            var someUri = "https://www.somesite.com/";
            Uri baseUri = new Uri(someUri);
            var fileName = "file_name_of_the_video" + ".mp4";
            var url = new Uri(baseUri, (UnityWebRequest.EscapeURL(fileName))).ToString();

            fileHelper.DownloadFileToLocal(this, url, fileName, 
                OnSuccessLoadingVideo, OnFailureLoadingVideo);
        }

        private void OnSuccessLoadingVideo(string fullLocalVideoPath)
        {
            videoPlayer.source = VideoSource.Url;
            videoPlayer.url = fullLocalVideoPath;

            Debug.Log(videoPlayer.url);

            videoPlayer.Play();
            Debug.Log("Playing: " + name);
        }

        private void OnFailureLoadingVideo()
        {
            Debug.LogWarning($"Failed to load video: {name}");
        }