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Yes, you should cite it, particularly if the data you downloaded might be wrong. But either way, the data is the product of their work and you shouldn't take any implied credit for it. You should ...
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#4: Attribution notice removed
Source: https://writers.stackexchange.com/a/46907 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#3: Attribution notice added
Source: https://writers.stackexchange.com/a/46907 License name: CC BY-SA 3.0 License URL: https://creativecommons.org/licenses/by-sa/3.0/
#2: Initial revision
Yes, you should cite it, particularly if the data you downloaded might be wrong. But either way, the data is the product of their work and you shouldn't take any implied credit for it. You should have guidelines for citing a website, but at minimum it will be the just the web address and the date. Like > 1. Data courtesy of www.SomeDataForYou.com; Jul 2019.