No - no podcast app will do that except Microsoft's own podcast section in the music app.
Originally Posted by aaa6112
Here's the problem with podcasts on Windows Phone. MS's own implementation isn't bad, but because it doesn't let you update the feeds more consistently (only updates feeds once per day), you're constantly behind. However, it will download automatically when it finds a new episode. The problem I was running into lately was the damn thing wasn't auto retrieving my podcasts, so I'd consistently have to go in manually and find my newest podcasts. It was a pain.
WPodder and Podcasts Pro are the two other podcast apps I've used, and they'll update feeds automatically, but they won't download the episodes. You have to manually tell it to download. MS doesn't allow third party apps to automatically start a download. I believe Podcast Picker is the same way, once you enter the app itself, it'll auto retrieve the newest podcast episodes and download them, but not until you actually enter the app. It won't download overnight while you're sleeping, for example.
So basically you can't have it all on a Windows Phone...yet.