How to replace the System's Download folder with one in an external drive?
This is possible via symbolic link.

Move your existing data in ~/Downloads to the location you want, let's say /ExternalDrive/Downloads

Open Terminal and run:
This will remove the Dowloads folder and you'll need to type in your password to do that (you won't see *** when entering, just hit enter after you finish).
sudo rm -rf ~/Downloads


Create a symbolic link to your desired location:
ln -s &quot;/ExternalDrive/Downloads&quot; ~/Downloads



And voila! Dowloads folder moved.
A more detailed version of this process and be found here.
It's also possible to create a link to the iCloud Download folder. Using this command:
ln -s /Users/yourusernamehere/Library/Mobile\ Documents/com\~apple\~CloudDocs/Downloads  ~/Downloads