This functionality is provided by certain plugins, and others let you download your whole media library. But what if all you want to do is download a single file?
In that case, simply open the URL in a new tab without copying it.
What we want is a Download File link row action for a one-click-download. This snippet will do just that, allowing you to download whatever file it is directly to your computer.
add_filter( 'media_row_actions','weszty_web_media_file_download_link', 10, 3 );
function weszty_web_media_file_download_link( $actions, $post, $detached ) {
$actions['file_url'] = '<a href="' . wp_get_attachment_url( $post->ID ) . '" download="' . wp_get_attachment_url( $post->ID ) . '" target="_blank">Download File</a>';
return $actions;
}