Install pdfjs-dist

import { Document, Page, pdfjs } from "react-pdf";
import pdfjsWorker from "pdfjs-dist/build/pdf.worker.entry";

pdfjs.GlobalWorkerOptions.workerSrc = pdfjsWorker;

Reference: https://github.com/mozilla/pdf.js/issues/8305

UPDATE

react-pdf >= 9.0.0

import { Document, Page, pdfjs } from "react-pdf";
import { WorkerMessageHandler } from "pdfjs-dist/build/pdf.worker.min.mjs";

pdfjs.GlobalWorkerOptions.workerSrc = new URL(
  WorkerMessageHandler,
  import.meta.url
).toString();

This also fixed a known issue:

Failed to load module script: Expected a JavaScript-or-Wasm module script but the server responded with a MIME type of "application/octet-stream". Strict MIME type checking is enforced for module scripts per HTML spec.

https://github.com/wojtekmaj/react-pdf/issues/1825

Hope am not too late in answering your question. Here are the steps:

1. Open the particular pdf in the reader to full screen.
2. Launch inspect.
3. Look for a hidden download button with id download styled as display: none, Change that to display: inline to make it visible.
4. Click the button to download your pdf.

Go to Settings. Search for "pdf". Scroll down in the applications window, and change the setting for "Portable Document Format (pdf)" to "Save file" (see image). Open your link, firefox will save your file. Afterwards, you can change your settings back.