Q: I have downloaded albums and music onto my Mac but, that music WILL NOT download into my iTunes of my phone.

Hello mrscarterfromnyc,

I understand you have downloaded albums and music to your Mac but those same songs won't download to your iPhone.  That you mention the iCloud arrow icon implies that you are downloading the music from iCloud.  Do you have iCloud Music Library enabled and/or Apple Music?

I'm not sure which icons you are seeing so please see if this article helps tell what the song status is:

About iCloud Music Library icons and status - Apple Support

If you are using Apple Music please also check out this article for download steps.

Add music from the Apple Music catalog to your library - Apple Support

Best regards.