Does this happen for all (large) artifacts or only specific ones? Are there any warnings or errors in the log?

it happends on all artifacts. No warning in the log

What happens when you download the artifact using different tools, e.g. other browser, command line tools like wget, curl (may need authentication if Jenkins is secured, but that's possible)?

It looks the same from IE/Chrome/Firefox. The download is incomplete but no error message.
When I download use wget, I saw onetime that the download just hung there and no speed. But if I kill it and download again, it works.

We are seeing it again. This issue is often seen when the server is in US and we download it from Shanghai office. We do not see it often when download from US.

You could copy the file from Jenkins to another http server in the U.S. (preferably on the same machine), then attempt the download from the http server (instead of Jenkins). That would let you confirm that the problem is more related to network transfer than to Jenkins being involved in the transfer.

Alternately, if the receiving machine is a Linux machine, you could copy to a nearby Linux server in the U.S., then use rsync to download the file. The rsync protocol will restart and only transfer missing portions of the file.

I copied the Jenkins artifacts to the same machine in our Jenkins server. I tried several downloads. None of them fail or hung.

However, at the same time, I got a 50% percent rate for downloading from jenkins job that the download started with ~=2MB/s (which is the expected speed), but then after a few seconds, the speed goes down and became zero. And one time that the download complete but the size is smaller than the actual size. So I believe there is a high chance that this is issue with Jenkins. I saw this issue on Jenkins 1.565.1 and 1. 554.3.

This is easy to be reproduce to download an artifact for the first time.