I would say so, unless the download at one website was via a link to another website-- then 'at' seems more reasonable.
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KooyeenA question: would "on" make sense too? - You can download it on the official website.Thanks.Since we don't usually download anything on any web, technically it sounds wrong. We download from a web site to a computer. If you're uploading something on a website, this sentence would make sense then.