macOS includes a technology called Gatekeeper, that’s designed to ensure that only trusted software runs on your Mac. The safest place to get apps for your Mac is the App Store. … If you download and install apps from the internet or directly from a developer, macOS continues to protect your Mac.

To disable the Gatekeeper you can do one of the following steps.

Open up the terminal( a command line utility) and enter the following
sudo spctl --master-disable
You will be prompted for your Administrator password.

Then you can now run the internet downloaded application.

To enable it back simply run the alternate command.
sudo spctl --master-enable