diff --git a/blender_cloud/pillar.py b/blender_cloud/pillar.py
index 0adbe5b..3210794 100644
--- a/blender_cloud/pillar.py
+++ b/blender_cloud/pillar.py
@@ -143,6 +143,8 @@ async def download_to_file(url, filename, chunk_size=100 * 1024, *, future: asyn
 
     # Download the file in a different thread.
     def download_loop():
+        os.makedirs(os.path.dirname(filename), exist_ok=True)
+
         with closing(req), open(filename, 'wb') as outfile:
             for block in req.iter_content(chunk_size=chunk_size):
                 if is_cancelled(future):