Official comment
You can use a Trigger or a Goal in a Campaign to check for a file download from an email, or use a Tracked Link for files you expose on a web page for downloading. (The same process works for Rules).
In a Trigger or Goal (and also in a Rule), check for the "Clicks Email Link" trigger. Select the Email the download link is in, and the position it occupies in the email (if it is the first link you added to the email, it is "Link #1", and if it's the second, it is "Link #2). The Campaign can then use an Add Tag element to add a Tag, or you can Tag them in the Actions section of a Rule.
For a download link you put on a webpage, use a Tracked Link. See our article on Link Tracking for a step by step tutorial on how to set it up. Tracked Links have some advantages; you can put them anywhere on the Internet, and you can change what the link does later ... so if you want to stop people from downloading the file you could change the Tracked Link to lead to your home page instead.
You can then use a Trigger or Goal that looks for "Clicks Tracked Link" and apply the Tag using the Campaign element "Add Tag". This Trigger or Goal can actually start them on a Campaign to follow up with them after they download, etc. Rules also have the same ability to act when a Contact "Clicks Tracked Link".