If the Xbox allows you to download full video games directly to the console for a fee, then yes, it is completely legal. But if you are downloading full games for free, then it is probably not legal. It would only be legal if Xbox was offering a free game download.
Downloading anything that you have not paid to download, whether it is a book, a song, or a video game, is illegal. Not only could you face civil fines and penalties, you could even face criminal charges, if you are caught.
