Roxolani: Did you try alternative download managers? IDM, FDM, DownThemAll (Firefox add-on), or etc?
IronArcturus: The problem has to be on GOG's servers, since I tested the connection on my side and everything was ok. But every time I tried to download a GOG game, it's always very slow.
Not necessarily. When you download from GOG's server, it may pass through several other servers before it reaches you. Any of those servers could be causing the slowdown in your download speeds. So GOG's server(s) could be capable of sending your download at high speed, but something between them and you prevents it reaching you at high speed.
Assuming the problem isn't at GOG's end, I would try using a VPN (if possible), as this should change the route that the download takes, and hopefully avoids the server(s) causing the current bottleneck.