The answer to this question depends on whether the copyright owner of the television series has authorized the website to provide downloads. If the website offering the downloads is not licensed or otherwise authorized by the copyright owner, it is not legal for you to download the episodes.
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It depends on whether the download was authorized by the copyright owner, and what conditions were imposed on the use of the downloaded episode (such as not copying or sharing the episode with another). If it was authorized, then it would be legal (provided that you do not violate the conditions). If you are referring to unauthorized file sharing, this would not be legal.
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