When you say “download” what and where are you downloading from? Is the device/computer on the local network? Is the USB attached external HDD connected to a computer or to the My Cloud?
If the USB attached external HDD is connected to the computer then it uses a DIFFERENT connection method and speed than the local network speed between the computer/device and the My Cloud.
Couple of suggestions beyond what Bill_S has suggested. Ensure the router the My Cloud is connected to is a Gigabit speed router/switch. Ensure the device that is “downloading” to the My Cloud is also Gigabit capable and has a Gigabit connection to the same router or switch the My Cloud is connected too.
WiFi is typically slower than a wired Gigabit connection.
Sometimes if a computer or device that is connected via Ethernet wire to a router also has a WiFi connection to that same router the computer OS may choose the WiFi connection over the wired connection yielding slower speed. Turn off WiFi (if it is slower than the wired connection) if this is the case.