If Easy Digital Downloads is installed, the extension will provide you some basic options for restricting access to download links.
EDD has a setting to require users to be logged in to access downloads. However, this does not actually provide link protection. It merely restricts the download link from being generated unless the user is logged in. The available setting in the WP-Members Advanced Options extension restricts any link from being accessed unless the user is logged in. This prevents a user from giving a direct link to another person or publishing a valid link on the web.
The setting allows two possible options. You can return the generic WP error if the link is accessed or you can redirect the user to the WP-Members login page.