As long as you've downloaded the music in a legal way and not used any illegal means of downloading the music then it's legal to download music for personal use.
For example there are many songs and music on Youtube and you could go to a Youtube saving video website to download that music as an mp3 file.
Then downloading that music to play on your computer or making a CD copy etc would be legal but you just cannot download the music and then sell the music.
I've downloaded lots of music from Youtube for personal use and even downloaded music I've paid for and that's also legal for personal use.
Some people might use torrent websites and software to download music which can be illegal but it's hard to get caught especially if you use a VPN.