I had been looking for this function for a while, and could not find any posts with the correct answer. Finally stumbled on the location (in Marshmallow) where this elusive function is located.
Note there is no way (unless rooted) to directly edit or delete the download history file as it is managed by the OS in a restricted area.
Two ways to access the function. Easy way: Open up the My Files app that came with the phone. Tap on Download History. You can clear the download history for each app individually by tapping the app in the list, or to clear all download history tap on the three dot menu at top right and select Clear History.
Longer way: Go to settings-storage then click on internal storage. Scroll down to the bottom and tap Explore (launches My Files app). Tap on the Home icon at the top of the screen. Follow remaining steps above.