Apple Podcast downloads go directly into the Apple Podcasts app on your iPhone, iPad, or Mac. Once you download an episode, you can access it from the "Library" section of the Podcasts app.

Here's how you can find it:

1. Open the Apple Podcasts app.
2. Tap on "Library" at the bottom of the screen.
3. Tap on "Downloaded Episodes." Here, you'll see all the podcast episodes you've downloaded.

Remember, downloading a podcast episode means it's stored directly on your device, so you can listen to it even when you're offline.