Go down is a option in Escaping the Prison and Fleeing the Complex.
Escaping the Prison[]
Badass Bust Out[]
In the "Badass Bust Out" path, Henry can choose to swerve to his left while evading Burt Slim and Tom Hardly. Following that, he notices a wall at the very end and can then choose to turn but accidentally trips while doing so, leading to a fail. [Message: lol Brawl reference! :D]
Fleeing the Complex[]
Using a Boost Up from Ellie Rose, Henry can choose to go down and rescue the former, initiating the "Convict Allies" path.