If the issue persistent, it's likely caused by your ISP having a firewall or other similar security feature blocking the connection. This has occurred in the past several times specifically due to the ISP filtering the connection
If the issue occurs randomly or for only some files, it's likely an ongoing issue with Thunderstore CDN provider (we are working on it)
Try using Toggle preferred Thunderstore CDN option on the mod manager's Settings page to use an alternative CDN. Note that the setting will reset itself whenever the app is restarted. This is by design, as users should use the main CDN when it's working without problems
The issue can usually be bypassed by using a different internet connection (e.g. a mobile hotspot) or a VPN
The issue usually resolves itself with time, so waiting is a valid strategy
Miscellaneous Problems
Steam overlay or FPS counter is not working when launching through the mod manager
If you've set the game executable to always run as admin (via right click -> properties), this could prevent the overlays from working. Make sure this checkbox is unticked.