Perhaps the greatest strength of PowerShell is it's foundation on the .NET framework. The .NET framework enables almost unlimited possibilites inside the scripting realm. This blessing can equally be a curse as things can get complicated. Fast.
This post will describe three methods for downloading files using PowerShell - weighed up with their pros and cons.
Test setup
Today's testing is not highly scientific. The point is to show the difference in execution time and performance.
The test setup consists of PowerShell 4 running on Windows 8.1 x64 with my VDSL connection curently synced at 35.9/10.4 mbps.
I will be downloading a test file from Internode at the following URL: http://mirror.internode.on.net/pub/test/10meg.test. The scripts will be executed 10 times each with the average displayed as the result.
Let's get started!
1. Invoke-WebRequest
The first and most obvious option is the Invoke-WebRequest cmdlet. It is built into PowerShell and can be used in the following method:
$url = "http://mirror.internode.on.net/pub/test/10meg.test"
$output = "$PSScriptRoot10meg.test"
$start_time = Get-Date
Invoke-WebRequest -Uri $url -OutFile $output
Write-Output "Time taken: $((Get-Date).Subtract($start_time).Seconds) second(s)"Time taken: 27 seconds
Pros
With the cmdlet already available it is super easy to get started and use. Integration with Write-Progress is handy while watching paint dry scripts run (assuming you know the total file size). Cookies can also be persisted between mutiple requests through the use of the -Session and -WebSession parameters. 
Cons
Speed. This cmdlet is slow. From what I have observed, the HTTP response stream is buffered into memory. Once the file has been fully loaded, it is flushed to disk. This adds a huge performance hit and potential memory issues for large files. If anyone knows specifics on how this cmdlet operates, let me know!.
Another potentially serious con for this method is the reliance on Internet Explorer. For example, this cmdlet cannot be used on Windows Server Core edition servers as the Internet Explorer binaries are not included by default. In some cases you can use the -UseBasicParsing parameter, but it does not work in all cases.
Verdict
This cmdlet shines when you need to persist cookies across multiple requests (for instance HTTP Forms Auth before downloading the file).
Performance is good enough for small downloads, but there are definitely better options for situations where speed is required. If the script is to be run on a server running Windows Server Core, choose a more universal method.
2. System.Net.WebClient
A common .NET class used for downloading files is the System.Net.WebClient class.
$url = "http://mirror.internode.on.net/pub/test/10meg.test"
$output = "$PSScriptRoot10meg.test"
$start_time = Get-Date
$wc = New-Object System.Net.WebClient
$wc.DownloadFile($url, $output)
#OR
(New-Object System.Net.WebClient).DownloadFile($url, $output)
Write-Output "Time taken: $((Get-Date).Subtract($start_time).Seconds) second(s)"Time taken: 7 seconds
Pros
This method is also easy to use. Not as syntactically nice as Invoke-RestMethod - yet can still be executed on a single line. Speed is great as the HTTP response stream is buffered to disk throughout the download process.
There is also the option of System.Net.WebClient.DownloadFileAsync(). This can be very handy if you'd like your script to continue while the file downloads in parallel.
Cons
There is no visible progress indicator (or any way to query the progress mid transfer). It essentially blocks the thread until the download completes or fails. This isn't a major con, however sometimes it is handy to know how far through the transfer you are.
Verdict
System.Net.WebClient is my preferred option when file downloads are required. Anything that increases the performance of my scripts is a winner in my books. This method is also fully compatible on Server Core machines and 100% compatible with your Azure Automation runbooks.
3. Start-BitsTransfer
If you haven't heard of BITS before, check this out. BITS is primarily designed for asynchronous file downloads, but works perfectly fine synchronously too (assuming you have BITS enabled).
$url = "http://mirror.internode.on.net/pub/test/10meg.test"
$output = "$PSScriptRoot10meg.test"
$start_time = Get-Date
Import-Module BitsTransfer
Start-BitsTransfer -Source $url -Destination $output
#OR
Start-BitsTransfer -Source $url -Destination $output -Asynchronous
Write-Output "Time taken: $((Get-Date).Subtract($start_time).Seconds) second(s)"Time taken: 6 seconds
Pros
This method proved to be the fastest in my test cases! Extensive integration with Write-Progress gives you a clear indicator of the file size and progress. The -Asynchronous flag can be used to queue transfers asychronously. This method is also incredibly flexible supporting separate credentials for the destination server AND web proxy, if required.
Personally, the biggest benefit to using the Start-BitsTransfer method is the ability to set retry actions on failure and limiting the amount of bandwidth available to a transfer.
Cons
While BITS is enabled by default on many machines, you can't guarantee it is enabled on all (unless you are actively managing this). Also with the way BITS is designed, if other BITS jobs are running in the background, your job could be queued or run at a later time hindering the execution of your script.
Verdict
This method is perfect for scenarios where you want to limit the bandwidth used in a file download or where time isn't a major issue. I have used this to sync files nightly at full speed and during the day at half speed using Transfer Policies. BITS is also easy to monitor and audit.
Conclusion
We can see the obvious/easiest choice isn't always the best. I would recommend System.Net.WebClient due to it's universal nature and performance. BITS my second choice due to it's flexibility and managability.
Do you know other methods? Let me know!
https://blog.jourdant.me/post/3-ways-to-download-files-with-powershell