Here is how I got this working
$.ajax({
url: '<URL_TO_FILE>',
success: function(data) {
var blob=new Blob([data]);
var link=document.createElement('a');
link.href=window.URL.createObjectURL(blob);
link.download="<FILENAME_TO_SAVE_WITH_EXTENSION>";
link.click();
}
});
<script src="https://ajax.googleapis.com/ajax/libs/jquery/2.1.1/jquery.min.js"></script>
Updated answer using download.js
$.ajax({
url: '<URL_TO_FILE>',
success: download.bind(true, "<FILENAME_TO_SAVE_WITH_EXTENSION>", "<FILE_MIME_TYPE>")
});