There are a few reasons that could be causing this:
1) The file is large and is taking a while to download. This is especially true if you're trying to download a lot of files at once, or if you have a slow internet connection.
2) The file is in a format that isn't compatible with your Kindle. This can happen if you're trying to download a PDF or other non-Kindle format.
3) You're trying to download a book that's still in progress. This can sometimes happen with pre-orders, or if the book is being released in installments (like a serialized novel).
4) There's an issue with your Amazon account. This could be anything from a problem with your payment method to a problem with your Kindle's delivery address.
If you're still having trouble, the best thing to do is contact Amazon customer support. They should be able to help you figure out what's going on and get your books downloaded as soon as possible.