How to automatically download C++ dependencies in a cross platform way + CMake?

In CMake you can use file(DOWNLOAD URL PATH) to download a file, combine this with custom commands to download and unpack:

set(MY_URL "http://...")
set(MY_DOWNLOAD_PATH "path/to/download/to")
set(MY_EXTRACTED_FILE "path/to/extracted/file")

if (NOT EXISTS "${MY_DOWNLOAD_PATH}")
    file(DOWNLOAD "${MY_URL}" "${MY_DOWNLOAD_PATH}")
endif()

add_custom_command(
    OUTPUT "${MY_EXTRACTED_FILE}"
    COMMAND command to unpack
    DEPENDS "${MY_DOWNLOAD_PATH}")

Your target should depend on the output from the custom command, then when you run CMake the file will be downloaded, and when you build, extracted and used.

This could all be wrapped up in a macro to make it easier to use.

You could also look at using the CMake module ExternalProject which may do what you want.