When you tap the Save to Files option on a file, you’re prompted to choose a saving location. Depending on your settings, you’ll have the option to save to On My iPhone, iCloud Drive, and possibly other cloud drives. If you downloaded a file this way, you’ll find it in the Files app. If you’re looking for a photo you saved from the web, an app, or a message, you’ll probably find it in the Photos app, not the Files app. This is because when you save a photo, you’re prompted to Add to Photos. The only way your photo will not show up in the Photos app is if you selected Save to Files the option instead of adding it to your photos.
Depending on how you downloaded the file you’re looking for, you may see it right here in the main On My iPhone folder. You’ll also find an iCloud Drive folder in this section, as well as any other cloud drive services you’ve set up on your phone. If you tap one of these folders, you may find downloaded files there, too.
For example, tapping Instagram (if you have it) displays the amount of space used by the app itself, as well as the data it needs to save to your phone. Tapping Safari displays how much space is consumed by Documents & Data, your offline reading list, web history, and downloads.