Access through a jump gate

Good morning,

I am trying to download a file from other machine.
The problem is that i do not have a direct connection to this machine. I need to use other machine in the middle to connect at this machine.
Is there any option to connect to this middle machine and, with this session open, connect to the final machine?

Cheers

See https://winscp.net/eng/docs/ui_login_tunnel