Depending on the course, there may be additional recourse provided. Either in the form of files, or links to external sites. You can find these in two places in the console.
In the left panel of some lectures, you will see a paperclip indicating a resource.
Alternately, to see where the resources are you can use the course curriculum / dashboard page and scroll down you will see small paper clip icons that indicate resources. if you single click on them you can see what the resource are. Unfortunalty you cannot download download resources from here.
On small screens, the video-player resources view may be hidden behind the Related Discussions panel, so try making your browser window larger or having it zoom out. If the video mentions a resource and it's not listed there, ask Pluralsight Support (opens email form) to add it. Please note both the specific video URL (ideally with a time mark) and the specific missing resource, when you contact support.
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If you need help, please contact Pluralsight Support.