Yes. A bundle is a set of Shopify products with a discount attached, and the app treats every component as an ordinary Shopify product. It has no separate handling and no restriction for digital items, so a downloadable product goes into a bundle exactly the way a shipped one does.
How delivery works
Nothing about being in a bundle changes how a product is fulfilled. Whatever delivers your digital product today — the digital-delivery app you already use in Shopify — does the same job when that product is sold inside a bundle.
Set your digital products up in Shopify as you normally would, before you add them to a bundle. Then place a real test order through the bundle and check that the download reaches the customer the way you expect. If it does not, the thing to look at is the delivery app's own configuration, exactly as you would for a sale outside a bundle.
"Physical bundle" is a type name, not a statement about shipping
This is the part that causes the confusion. Physical is the name of one of the app's three bundle types. It describes what the app builds in Shopify, not what is in the box.
Widget-only. No Shopify product is created. The bundle exists only as its component items, with the discount attached to them in the cart.
Physical. The app creates a regular Shopify product for the bundle, with its own product page. In the cart, each component is added as its own separate line.
Shopify. The app creates a native Shopify bundle product. In the cart it is a single line, split into its components at checkout and in the order.
A bundle made entirely of downloads can be a Physical bundle, and a bundle of heavy furniture can be a Widget-only one. The word refers to the app generating its own Shopify product, and says nothing about whether anything ships.
Choosing a type, then
Pick the type on the grounds that actually differ between them: whether you want the bundle to have its own product page, how it should appear in the cart, and which sales channels it needs to reach.
The type is chosen once, at creation, and cannot be changed afterwards — to change it you duplicate the bundle and rebuild the copy. See "Types of product bundles" for what each type does and where each one can sell.
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