Which documents? From where? And do you mean download to your computer?
Save the PDF
https://ttlc.intuit.com/community/saving/help/how-do-i-save-my-turbotax-online-return-as-a-pdf/00/26...
Save the tax file
https://ttlc.intuit.com/community/saving/help/how-do-i-save-my-turbotax-online-return-as-a-tax-data-...
