Whenever Files or Documents are download, there will be an entry in ContentVersionHistory entity or object in Salesforce. So, we can query the ContentVersionHistory entity/object with Field value as contentVersionDownloaded to find the files or documents that are downloaded by an user.

Sample SOQL:

SELECT Id, ContentVersionId
FROM ContentVersionHistory
WHERE CreatedById = '0053t00000AG695AAD'
AND Field = 'contentVersionDownloaded'