Try downloading again, and check the download folder before closing Firefox. Then close the browser. Does the file disappear?

When you are using Private Browsing any files that are downloaded are cleared when Firefox is closed or when you close Private Browsing mode with a non-private window open.

Best thing is don't use PB mode when you want to download files.

I did not know that. Thank you.

Has this changed? The downloaded files should still be where you saved them on disk, but Firefox won't show them in your downloads list outside of your private window or after your private session ends.