Solution:
When it gives an error copy the link and download the file through your browser replace http with https, Go to your unreal folder Unreal Engine/.git/ue-gitdeps/ Look at the first 2 characters to determine the correct folder placement (Example
b645fcb8d128dfacf83e05c83d05cc377a1db7f8 would be Folder b6)
. Do not extract the file drop the zip file directly into folder b6. Restart Setup.sh. Will check for dependencies again and give another error rinse and repeat, put all downloaded files into correct folder( like b6) until all dependencies are finally downloaded. If stuck on Downloading dependencies for a stupid long time with no error restart setup.sh should hopefully try again and be shorter the next time.
After everything is downloaded I did GenerateProjectFiles with no Issue and Make worked flawlessly.