you can check the download against the published MD5 sums. Assuming you downloaded it to your Downloads folder:
md5sum Downloads/ubuntu-mate-16.04-desktop-i386.iso
if your numbers match your good.
FYI: the reason it is coming from someplace else is the Ubuntu-Mate team is using a CDN to allow for high speed downloads.
If for some reason your downloading under Windows you can get the File Checksum Integrity Verifier from Microsoft.