How do I change downloads location on iOS mobile devices?

Since iOS 13, by default, Safari downloads files to the Downloads folder in iCloud Drive. You can switch the download location to a local folder on your iPhone or iPad.
Here's How: Head to Settings > Safari > Downloads.
(these 3 steps are pictured below)

You can change it from 'iCloud Drive' to 'On My iPhone'.

This will switch to the Downloads folder on your local iPhone or iPad.