To download videos to your iPhone, you must be using iOS 13 or better and the Safari browser on your device. These are restrictions by Apple.
Locate the video from the My Videos page in Safari on your iPhone and press the Download link.
The video will download to the Files app on your iPhone. Locate the downloaded video in the Files app, long press on it, and use the iOS share button to save that video to your Camera Roll or directly to an app like Instagram.