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Essentially you need to create a two-step process:
You send a request to the API site to get the "authentication" (e.g., a session ID).
You then parse out the "authentication" component from the JSON data received from the API on that request and incorporate that into the URL used in the second Download tool that sends the command to get the detail data you are looking for. (Most APIs have documentation that have examples of how to request the "authentication" component and the GET command for the actual data.)
I've attached a basic sample workflow that provides the general steps for this.
I assume in the Download_Data in the first response there is a SessionID or something similar that is in the returned value?
If so, you would need to parse that out and then add it into the second GET call (either as part of the URL or in the Header information). Usually it is in a field labeled something like "Authorization" or "Session_ID".
The "Authentication credentials were missing or incorrect" error would indicate that is not in a correct format for that call.