The 3D model comes integrated with the footprint for the Altium format. We are currently working on supporting this feature for EAGLE and KiCad.
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For KiCad, however, although not integrated, the 3D models are still downloaded. If you are downloading from the website, it will be included in the zip file. Also, when using the desktop app, you can find them in the following path file: C:\Users\<Your Username>\SnapEDA Kicad Plugin\KiCad Library\SnapEDA 3D Models