AndroidManifest.xml

<!--- Add Internet Permissions in the Manifest File-->
    <uses-permission android:name="android.permission.INTERNET"/>

    <!-- Add Read and Write Permissions in the Manifest File-->
    <uses-permission
        android:name="android.permission.WRITE_EXTERNAL_STORAGE"
        tools:ignore="ScopedStorage" />

activity_main.xml

<?xml version="1.0" encoding="utf-8"?>
<LinearLayout xmlns:android="http://schemas.android.com/apk/res/android"
    xmlns:tools="http://schemas.android.com/tools"
    android:layout_width="match_parent"
    android:layout_height="match_parent"
    android:gravity="center"
    android:orientation="vertical"
    tools:context=".MainActivity">

    <androidx.appcompat.widget.AppCompatButton
        android:id="@+id/downloadBtn"
        android:layout_width="wrap_content"
        android:layout_height="wrap_content"
        android:layout_marginTop="20dp"
        android:text="Download File" />

</LinearLayout>

MainActivity.java

import android.Manifest;
import android.app.ProgressDialog;
import android.content.pm.PackageManager;
import android.os.Build;
import android.os.Bundle;
import android.view.View;
import android.widget.Toast;

import androidx.annotation.NonNull;
import androidx.appcompat.app.AppCompatActivity;
import androidx.appcompat.widget.AppCompatButton;
import androidx.core.content.ContextCompat;

import java.io.File;

public class MainActivity extends AppCompatActivity {

    private String fileUrl = "https://jsoncompare.org/LearningContainer/SampleFiles/Video/MP4/sample-mp4-file.mp4";

    @Override
    protected void onCreate(Bundle savedInstanceState) {
        super.onCreate(savedInstanceState);
        setContentView(R.layout.activity_main);

        final AppCompatButton downloadFile = findViewById(R.id.downloadBtn);

        ProgressDialog progressDialog = new ProgressDialog(MainActivity.this);
        progressDialog.setCancelable(false);

        downloadFile.setOnClickListener(new View.OnClickListener() {
            @Override
            public void onClick(View view) {

                // check if external storage permissions granted or not
                if (ContextCompat.checkSelfPermission(MainActivity.this, Manifest.permission.WRITE_EXTERNAL_STORAGE) != PackageManager.PERMISSION_GRANTED ||
                        ContextCompat.checkSelfPermission(MainActivity.this, Manifest.permission.READ_EXTERNAL_STORAGE) != PackageManager.PERMISSION_GRANTED) {

                    // request for permissions
                    if (Build.VERSION.SDK_INT >= Build.VERSION_CODES.M) {
                        requestPermissions(new String[]{Manifest.permission.WRITE_EXTERNAL_STORAGE, Manifest.permission.READ_EXTERNAL_STORAGE}, 102);
                    }
                } else {

                    // show progress dialog
                    progressDialog.show();

                    // download file
                    DownloadFile.download(MainActivity.this, fileUrl, "fileNamedataa.mp4", new DownloadProgressListener() {
                        @Override
                        public void progress(int downloaded, int totalFileSize) {

                            // creating downloaded percentages
                            int percentages = (downloaded * 100) / totalFileSize;

                            // setting progress to ProgressDialog
                            progressDialog.setMessage("Downloaded = " + percentages + "%");
                        }

                        @Override
                        public void success(File downloadedFile) {
                        }

                        @Override
                        public void error(String errorMessage) {
                        }
                    });
                }

            }
        });

    }

    @Override
    public void onRequestPermissionsResult(int requestCode, @NonNull String[] permissions, @NonNull int[] grantResults) {
        super.onRequestPermissionsResult(requestCode, permissions, grantResults);
        if (requestCode == 102) {
            if (grantResults.length > 0 && grantResults[0] != PackageManager.PERMISSION_GRANTED) {
                Toast.makeText(this, "Permissions Declined", Toast.LENGTH_SHORT).show();
            }
        }
    }
}

DownloadFile.java

import android.content.ContentValues;
import android.content.Context;
import android.net.Uri;
import android.os.Build;
import android.os.Environment;
import android.os.Looper;
import android.provider.MediaStore;

import java.io.File;
import java.io.FileOutputStream;
import java.io.IOException;
import java.io.InputStream;
import java.io.OutputStream;
import java.net.HttpURLConnection;
import java.net.URL;

public class DownloadFile {

    private static DownloadProgressListener downloadProgressListener;

    public static void download(Context context, String fileUrl, String fileName, DownloadProgressListener downloadProgressListener) {

        new Thread(new Runnable() {
            @Override
            public void run() {
                DownloadFile.downloadProgressListener = downloadProgressListener;

                try {

                    // Create Url
                    URL url = new URL(fileUrl);

                    // Making HTTP Request
                    HttpURLConnection connection = (HttpURLConnection) url.openConnection();
                    connection.connect();

                    // getting file length
                    int fileSize = connection.getContentLength();

                    // getting input stream
                    InputStream inputStream = connection.getInputStream();

                    // creating byte buffer to read bytes from InputStream
                    byte[] buffer = new byte[1024];

                    // to store total downloaded bytes
                    int totalDownloadedBytes = 0;

                    // for below API level 29 we need to use old way to store Media Files like images, videos, etc.
                    final String picturesDirectory = Environment.getExternalStoragePublicDirectory(Environment.DIRECTORY_MOVIES).toString();
                    File destinationFile = new File(picturesDirectory, fileName);
                    OutputStream outputStream;

                    if (Build.VERSION.SDK_INT >= Build.VERSION_CODES.Q) {
                        ContentValues values = new ContentValues();
                        values.put(MediaStore.Video.Media.DISPLAY_NAME, fileName); // set image filename
                        values.put(MediaStore.Video.Media.RELATIVE_PATH, Environment.DIRECTORY_MOVIES);

                        // creating file
                        Uri fileUri = context.getContentResolver().insert(MediaStore.Video.Media.getContentUri(MediaStore.VOLUME_EXTERNAL_PRIMARY), values);
                        outputStream = context.getContentResolver().openOutputStream(fileUri);

                    } else {
                        outputStream = new FileOutputStream(destinationFile);
                    }

                    while (true) {

                        // getting bytes / download bytes
                        int downloadedBytes = inputStream.read(buffer);

                        // -1 means all the bytes has downloaded successfully
                        if (downloadedBytes == -1) {

                            Looper.prepare();
                            DownloadFile.downloadProgressListener.success(destinationFile);

                            // close outputStream and inputStream
                            outputStream.close();
                            inputStream.close();

                            // break the loop
                            break;
                        } else {

                            // writing output stream
                            outputStream.write(buffer, 0, downloadedBytes);

                            // append downloadedBytes to totalDownloadedBytes
                            totalDownloadedBytes = totalDownloadedBytes + downloadedBytes;

                            // call progress
                            DownloadFile.downloadProgressListener.progress(totalDownloadedBytes, fileSize);
                        }
                    }

                } catch (IOException e) {
                    e.printStackTrace();

                    Looper.prepare();
                    // Error
                    DownloadFile.downloadProgressListener.error(e.getMessage());
                }
            }
        }).start();
    }
}

DownloadProgressListener.java

import java.io.File;

public interface DownloadProgressListener {
    void progress(int downloaded, int totalFileSize);

    void success(File downloadedFile);

    void error(String errorMessage);
}