Earlier today I stumbled across that the SQL Server 2019 Evaluation Media just refused to download its installer files. When launching the SQL2019-SSEI-Eval.exe file, it immediately failed with the error:
Oops… A required file could not be downloaded. This could mean the version of the installer is no longer supported. Please download again from the download site. https://go.microsoft.com/fwlink/?LinkID=866658

Research and Solution
A quick trace with Fiddler revealed issues with the HTTPS / TLS handshake. Seems like Microsoft .NET sometimes selects TLS 1.1 no matter what versions that are available. Mr. Greg Childers kindly provided the solution: Configure your machine to use TLS 1.2 for .NET Applications by default.
PowerShell to the rescue:
# Set strong cryptography on 64 bit .Net Framework (version 4 and above)
Set-ItemProperty -Path 'HKLM:\SOFTWARE\Wow6432Node\Microsoft\.NetFramework\v4.0.30319' -Name 'SchUseStrongCrypto' -Value '1' -Type Dword
# Set strong cryptography on 32 bit .Net Framework (version 4 and above)
Set-ItemProperty -Path 'HKLM:\SOFTWARE\Microsoft\.NetFramework\v4.0.30319' -Name 'SchUseStrongCrypto' -Value '1' -Type Dword
Once configured the wizard went through nicely:



Doesn't work for me.
Sorry, if this does not resolve the issue, I don't know what will. These steps worked for me and many others.