There are some reasons that the new episode may not automatically download.
1. Auto Download New Episodes is not turned on. Please turn on Auto Download New Episodes on the app settings. You may check this FAQ on how to allow the auto download.
2. Unstable network connection. Auto downloading may fail if your network connection gets interrupted. Please change to another Wi-Fi network or use cellular data to see if the issue still occurs.
3. Insufficient storage space. Please go to your device settings & storage to check if your device has enough space to store the podcast. If not, please clear some storage space.