Yes, it's possible to create a Course that includes both a video and multiple downloadable files such as PDFs and PowerPoint presentations.
It's not possible to upload a PDF or PPT file in place of the video in a Course lesson. But you can add a video to a Course and also add downloadable PDF and/or PPT files to the same lesson.
Learn more about how to add a video to a Course lesson and how to add a downloadable file to a Course lesson.