Do You Have to Download Games on PSP?

No. PSP uses two distribution methods:

1. UMD (Universal Media Disc) — Physical

• 1.8 GB proprietary optical disc.
• Insert → Play instantly. Some cache to Memory Stick.
• Buy used (GameStop, eBay, local), trade, or new old stock.

2. Digital — PlayStation Store

• Requires Memory Stick PRO Duo + Wi-Fi (or PS3/PC via Media Go).
• **PS Store on PSP closed March 31, 2016.** In-game purchases closed July 2, 2021.
• Workaround: Buy on PS3/Vita/PC web store → Download → Transfer to PSP via USB. Or use PKGj (homebrew) on hacked PSP for direct download.

Recommendation

Physical UMDs: Cheap, plentiful, no account dependency, no Memory Stick space used (except saves), resellable. Digital: Convenient but store access now convoluted.