When you download files on an iPhone or another iOS device, the device typically saves them in the Files app. The downloaded file may not be shown in an obvious manner within Safari.
Find the Apple Files app (a light blue folder-like icon) on your iPhone or iOS device and open that. You would find your downloads there.
More details from Apple about the Files app: https://support.apple.com/guide/iphone/view-files-and-folders-iphc61044c11/ios