I was having a lot of trouble downloading KiCad from where I am (Australia). I'm thinking it's a link between me and the server (Which is in Paris, I think).
I've had to download 4.0.7 multiple times lately for various reasons, which was very frustrating as it took about 4 hours to download each time (Or failed).
So I created a project on Sourceforge who's only purpose is to use their download mirror network to host the files from http://downloads.kicad-pcb.org (With a few exceptions - MinGW, MSVC, etc).
It will rsync with the official download server once every 12 hours to try to get the nightlies in a timely manner.
Edit: Oops, forgot the actual link