Zotero can be set up so that the PDF attachments for library items (references) can be automatically downloaded when the library item is downloaded. This is called file syncing. Instructions for file syncing can be found here.
Before doing so, it is recommended that you read more about syncing and file storage, as attachments will increase the size of your Zotero library and there is a 300 MB limit on free Zotero accounts. Another option is to link and attach file attachments to your Zotero library items.
