AMZ (Amazon MP3 Downloader Download) is a special file format developed by Amazon.com for use with their Amazon MP3 Downloader desktop application.
AMZ files contain no actual audio data. Instead, they're used to activate the Amazon MP3 Downloader and initiate MP3 or M4A downloads of tracks bought from the Amazon music store.
AMZ files are generated dynamically by the Amazon music store and enable an easier bulk download of albums or playlists purchased by the user. The information stored inside an AMZ file is only valid for a limited amount of time, meaning that after a certain amount of time passes, the AMZ file expires and Amazon MP3 Downloader can no longer use it in order to retrieve the requested MP3 or M4A files.
A major downside to AMZ files is that they lack good cross platform support and Amazon is generally restricting Linux users from retrieving AMZ files.