Hello Neojackson45,
Thank you for choosing Apple Support Communities!
It sounds as though when attempting to download a song purchased in iTunes, the song does not appear in previously purchased music. You're in the right place, and we'd be glad to assist in seeking a solution.
Let's check to see if the song purchase is showing in purchase history. Below is a resource that can help:
See your purchase history for the App Store or iTunes Store
If you're not seeing the song in your purchase history, it's possible it's hidden or that it was purchased with another Apple ID. This resource below includes steps to hide or unhide purchases:
Hide and unhide music, movies, TV shows, audiobooks, and books
We hope this helps,
Cheers!