It really depends on how or why the files disappeared. There are many possibilities, and I’ll run through a few options to see if we can get lucky.
More importantly, in my opinion you’re doing two things wrong, and one of those could impact much more than just downloads.
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Downloads is for downloads, not for storage
In my opinion, the Downloads folder should never be used for long-term storage.
It was never intended as a place to keep things, and leaving things in the Downloads folder is a recipe for disaster, which you’re discovering.
Instead, once you’ve downloaded something you intend to keep — anything — move it to a different folder of your own. Maybe create a “Utilities” folder in your Documents folder, maybe create a “Downloaded PDFs” folder somewhere. Perhaps create folders by topic, or whatever makes sense to you.
But move them somewhere else.
If you lost anything, you aren’t backing up
Seriously, if you lost a file because the one copy you had of it disappeared, clearly you aren’t backing up. That’s true whether it was in the Downloads folder or anywhere else.
If you lost something because it was deleted, then it’s pretty obvious you hadn’t backed it up.
If your Downloads folder had been getting backed up (as an image backup would have ensured), you wouldn’t have lost anything except the time to locate the backup copy and restore the file(s).
Straws to grasp at
So, with the admonitions out of the way, I do have a few things for you to try.
Check the Recycle Bin. If the files were accidentally deleted by something you did in Windows File Explorer, or by a Recycle Bin-aware utility, it’s possible the file(s) you’re looking for could still be there. If they are, you can quickly and easily restore them.
Search for the file(s). Try to recall the name of one of the files, and search for it using Windows Search or the Command Prompt. If the file was moved to a different folder, you might find it there. This may also lead you to understand what happened and locate other files as well.
Check OneDrive. If you’re using OneDrive, it’s possible that your Downloads folder will, ironically, be uploaded to your OneDrive storage. Depending on your OneDrive account, it may have a File History or Recycle Bin you can check.
You may be out of luck
Difficult as it is to accept, it’s possible the files are gone forever.
Since we don’t know why they disappeared, there’s little I can offer to prevent this from happening again — except, of course, not using Downloads for long term storage, and making sure you start backing up your machine right away.
Why is Downloads so risky?
The problem with Downloads is pretty simple: I’m not alone in considering it inappropriate for long term storage. For instance, various disk cleanup utilities — including Windows’ own, shown above1 — offer to empty it, or just empty it without asking (they should ask, but it’s easy to overlook if you’re in a hurry).
Regardless of whether you agree with me or not, you need to protect yourself, and the easiest way is simply to move the files elsewhere once downloaded.
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Footnotes & References
1: Interestingly, this option is apparently being removed from future versions of Windows Disk Clean up. It may still exist in other tools, however.