With the Upload from URL feature you can easily add files like images, PDFs, zip or any other file to your Google Sheet.
How to use:
Add the url in the Upload from url field and click upload.
The file will be downloaded to your Google Drive, added to the upload area and then in the selected cell.
Make sure the file is smaller than 50mb.
If you want to download multiple files in bulk using Google Sheets you can use the FileDrop Download Manager tool.