When you open the info window, i.e. Get Info, of a downloaded file, Finder will show you the downloaded origin, called Where from. This information is there even the file is moved or slightly modified. How does Finder achieve this? Is it a feature of the file system?
In the metadata associated to a file. Use xattr from the command line to see and manipulate the metadata. Using ‘get info’ in the GUI is not equivalent, but should allow you to see some metadata attributes, including the originating URL.