Files downloaded using Safari have their source URL recorded within the file's metadata in the form of the com.apple.metadata:kMDItemWhereFroms extended attribute. In particular, this is convenient because the information is available in the Finder (using 'Get Info') or can be used as the basis of Spotlight searches.
Unfortunately, the feature is not widely supported among other browsers and not at all for files received directly from other people.
While not as convenient as having it available as a built-in function, users of other browsers can still enjoy the organizational benefits of this feature by manually writing 'where from' information for files of their choosing.
The 'where from' metadata can be viewed on the command line using /usr/bin/xattr like this:
xattr -p com.apple.metadata:kMDItemWhereFroms path_to_file
xattr -w 'com.apple.metadata:kMDItemWhereFroms' '<!DOCTYPE plist PUBLIC "-//Apple//DTD PLIST 1.0//EN" "http://www.apple.com/DTDs/PropertyList-1.0.dtd"><plist version="1.0"><array><string>http://www.from.where.do.I.com</string></array></plist>' path_to_file
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