If it is a really popular movie or show, then yes.
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The better question would be, "Is it illegal to download any shows for free"? The answer is, yes. It's called piracy, and you could get sent to jail if you do it.
There aren't many websites that offer free download, but if you want to download it you have to pay. I don't suggest you download it for free because it's illegal and if you are a true Miley Cyrus fan you wouldn't download it but buy it.
It's not illegal to download, it's illegal to upload, it's not really explained well the non existent laws
that's illegal. go out and buy them.
there are many places to doesnload that song but it is illegal to post on this site. you can go to Google and search "Jonas Brothers SOS song download" that might help