Copyright only covers distribution. Merely having a copy of something is fine. When you download something from Soundcloud, that's them distributing a copy to y

Copyright only covers distribution. Merely having a copy of something is fine. When you download something from Soundcloud, that's them distributing a copy to you; presumably they have permission to do that. If you then distribute copies of it to other people, then it might be a copyright violation (there are exceptions, and varying laws, and, etc). Just holding on to something that was distributed to you isn't a copyright violation.