Yes, providing the episode is still available for download.
Go to your Podcasts Library/Shows page
Select the show you are interested in
Scroll down the page, past the random list of episodes (that make no sense). Below the random list are two purple headings:
Available Episodes >
Previously Played >
Choose Previously Played and look for your episode in there. (Alternatively, you can use the available episodes, but the Previously Played might be easier)
Tap the + symbol to the right of the episode you wish to download again
Tap the cloud-with-arrow icon to actually download the episode (don't ask me why it's so complicated, I really don't know)
Once downloaded (the download icon disappears), the episode will be shown in the show's My Episodes list.
If you have created a Station for this show, the episode will be listed in the will also be shown under the list for that Station