That is the core feature of Plex. Tidal works best when used as an augementation of your personal music library, IMHO.
See first: https://support.plex.tv/articles/200288286-what-is-plex/
Then see also New To Plex, Need some expereinced help
For full functionality, you will have to have a Plex server device, which is running permanently and is reachable via the internet. But it doesn’t have to be a fully-grown PC. A cheap-ish NAS device should work if you restrict your Plex use to music.
It is possible to download a part of your media collection to a mobile device, e.g. a phone or tablet, before you leave the house. But this requires you to explicitly select the items you want to take with you.
And downloading a whole collection with thousands of tracks is not optimally supported.
