WebClient error when downloading file from https URL

The reason is site in question supports only TLS 1.2. In .NET, default value for System.Net.ServicePointManager.SecurityProtocol is Ssl | Tls, which means that .NET client by default does not support Tls 1.2 (it does not list this protocol in the list of supported protocols during SSL negotiation). At least this is the case for many .NET Framework versions, not sure if for all. But .NET really do support TLS 1.2, and to enable it you should just do:

string uri = "https://nvd.nist.gov/download/nvd-rss.xml";
using (WebClient client = new WebClient())
{
     System.Net.ServicePointManager.SecurityProtocol = System.Net.SecurityProtocolType.Tls12;
     client.DownloadFile(uri, @"c:\test\nvd-rss.xml");
}

And you should be fine. Of course it's better to support more than one TLS 1.2 protocol, because System.Net.SecurityProtocolType is a global setting and not all sites support TLS 1.2:

System.Net.ServicePointManager.SecurityProtocol = System.Net.SecurityProtocolType.Tls | System.Net.SecurityProtocolType.Tls11 | System.Net.SecurityProtocolType.Tls12;

.NET 4.0. TLS 1.2 is not supported, but if you have .NET 4.5 (or above) installed on the system then you still can opt in for TLS 1.2 even if your application framework doesn’t support it. The only problem is that SecurityProtocolType in .NET 4.0 doesn’t have an entry for TLS1.2, so we’d have to use a numerical representation of this enum value:

ServicePointManager.SecurityProtocol = (SecurityProtocolType)3072;