diff --git a/setuptools/package_index.py b/setuptools/package_index.py
index 1a6abebcda..3500c2d86f 100644
--- a/setuptools/package_index.py
+++ b/setuptools/package_index.py
@@ -807,21 +807,63 @@ def open_url(self, url, warning=None):  # noqa: C901  # is too complex (12)
             else:
                 raise DistutilsError(f"Download error for {url}: {v}") from v
 
-    def _download_url(self, url, tmpdir):
-        # Determine download filename
-        #
+    @staticmethod
+    def _sanitize(name):
+        r"""
+        Replace unsafe path directives with underscores.
+
+        >>> san = PackageIndex._sanitize
+        >>> san('/home/user/.ssh/authorized_keys')
+        '_home_user_.ssh_authorized_keys'
+        >>> san('..\\foo\\bing')
+        '__foo_bing'
+        >>> san('D:bar')
+        'D_bar'
+        >>> san('C:\\bar')
+        'C__bar'
+        >>> san('foo..bar')
+        'foo..bar'
+        >>> san('D:../foo')
+        'D___foo'
+        """
+        pattern = '|'.join((
+            # drive letters
+            r':',
+            # path separators
+            r'[/\\]',
+            # parent dirs
+            r'(?:(?<=([/\\]|:))\.\.(?=[/\\]|$))|(?:^\.\.(?=[/\\]|$))',
+        ))
+        return re.sub(pattern, r'_', name)
+
+    @classmethod
+    def _resolve_download_filename(cls, url, tmpdir):
+        """
+        >>> import pathlib
+        >>> du = PackageIndex._resolve_download_filename
+        >>> root = getfixture('tmp_path')
+        >>> url = 'https://files.pythonhosted.org/packages/a9/5a/0db.../setuptools-78.1.0.tar.gz'
+        >>> str(pathlib.Path(du(url, root)).relative_to(root))
+        'setuptools-78.1.0.tar.gz'
+        """
         name, _fragment = egg_info_for_url(url)
-        if name:
-            while '..' in name:
-                name = name.replace('..', '.').replace('\\', '_')
-        else:
-            name = "__downloaded__"  # default if URL has no path contents
+        name = cls._sanitize(
+            name
+            or
+            # default if URL has no path contents
+            '__downloaded__'
+        )
 
-        if name.endswith('.egg.zip'):
-            name = name[:-4]  # strip the extra .zip before download
+        # strip any extra .zip before download
+        name = re.sub(r'\.egg\.zip$', '.egg', name)
 
-        filename = os.path.join(tmpdir, name)
+        return os.path.join(tmpdir, name)
 
+    def _download_url(self, url, tmpdir):
+        """
+        Determine the download filename.
+        """
+        filename = self._resolve_download_filename(url, tmpdir)
         return self._download_vcs(url, filename) or self._download_other(url, filename)
 
     @staticmethod