On macOS a list of downloaded files is kept on disk and survives New Identity
On macOS a list of downloaded files is kept and survives New Identity. It might affect other platforms, too:
Mac [...] keeps a list of all the downloaded files. From which app(browser) and which website.
Location:
sqlite3 ~/Library/Preferences/com.apple.LaunchServices.QuarantineEventsV* 'select * from LSQuarantineEvent’
52FA128A-42E1-41E6-A0DD-5A58FB21ED7A|550679062.0|org.torproject.torbrowser|TorBrowser.app|https://encrypted-tbn0.gstatic.com/images?q=tbn:ANd9GcSP6KTk9o7luHrlg5CoeGFLiH2RpKwEcywcgdDeVQpciZzytjaafDzkKL0v|||0||https://www.google.com/search?q=snowmountains&tbm=isch&sa=G&gbv=1&sei=h3oiW_DkC8yFgAadrJLQBQ|