You can actually set Safari in macOS Catalina to always allow downloads from any website at all. This will remove the annoying pop-up you get every single time you try to download a file.
Stop Being Annoyed by the 'Download' Pop-up and Set Safari to Always Allow Downloading Files in macOS
In the name of privacy and safety, Apple made a bunch of decisions in macOS Catalina. One of them is in Safari where you go to a website to download something and the browser will ask you whether or not you want to go ahead with the download. You can just click on Download to go about business. While this does keep you safe from unwanted and mysterious downloads, but the safety mechanism does get in the way a lot of times for every single new website that you visit. Thankfully, you don't have to face this annoyance anymore as you can turn this feature off completely and this is what today's tutorial is all about.

Tutorial
Step 1. Launch Safari on your Mac.
Step 2. Click on the Safari option in the Mac menu bar at the top.
Step 3. Now click on Preferences.
Step 4. Click on the Websites tab.
Step 5. Select Downloads from the list of options in the pane on the left.
Step 6. You have two options here. You can either allow downloads from every single website you visit every single time by selecting the Allow option next to When visiting other websites. Or, you can go through the list of sites you have visited in the list and set the ones to Allow which you frequently use. The choice is yours.

That's it, you've now set Safari to always allow downloads no matter which site you are on. But remember, with this option enabled, you are now prone to downloading harmful software unknowingly as well. Even if you are careful in this regard, someone else might not be.
Personally, despite the frustration, I would recommend keeping the option to Ask at all times. It's a simple line of defense and keeps you from downloading unwanted software.
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