Jellyfin's Android app does let you download files but having to do music tracks one by one isn't very useful. Finamp is the app to use for proper offline play

Jellyfin's Android app does let you download files but having to do music tracks one by one isn't very useful. Finamp is the app to use for proper offline playback/sync of music from your Jellyfin server. Go for the beta version, it's far ahead of stable and works well.