Why can't Meizu 3 set the downloaded songs as SMS ringtones? And how to put the downloaded ringtone into the ringtone?

It is the same as setting the ringtone, and then set it in the root directory of the memory card.

Ringtone folder, and then put your favorite audio files in this folder, you can set them in Settings-Sound-SMS Ringtone.

Select the file, click Copy below, then locate the ringtone folder and select OK.