It depends on what type of response you're getting.
If the response is a base64 string, you can map it into a filedocument entity (using the Base64DecodeToFile from the CommunityCommons module). Then you can add a downoad file action in the microflow to download it.
If the response is a link to a file online, you can use the storeURLToFileDocument from the communityCommons module.
Hey, this is possible. If you create a microflow that calls the API (with the ‘Call REST’ action) you can save the file in a generalization of the FileDocument entity. How to work with FileDocuments can be found here: https://docs.mendix.com/howto/data-models/working-with-images-and-files/#4-file-documents
More information about consuming rest services: https://docs.mendix.com/howto/integration/consume-a-rest-service/#call-microflow
Let me know if you have any questions.