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I'm trying to select a string in a remote file. Currently, I download the document to a temporary file and then search for my string there. I'm trying to pipe the commands together but it seems like Start-BitsTransfer needs a destination file. Can I do this without a temporary file?

Start-BitsTransfer -Source https://www.remoteserver/file.html -Destination C:temp.html
$matches = Get-Content C:temp.html -ErrorAction SilentlyContinue | Select-String '(http.*pdf)'
$matches[0].Matches.Groups[1].Value

Further, is it possible to output the first match in one line without having to create the variable?

it seems like Start-BitsTransfer needs a destination file. Can I do this without a temporary file?

No, because PowerShell has no construct that is equivalent to Bash's output process substitutions (>(...))^[1], which is what you'd need here:

# Wishful thinking - does NOT work.
Start-BitsTransfer -Source https://www.remoteserver/file.html -Destination `
 >(Select-String '(http.*pdf)')

However, you can use Invoke-RestMethod to retrieve a text-based file such as an HTML page via HTTP and have its content output to the success stream, so you can pipe it to other commands:

Invoke-RestMethod -UseBasicParsing https://www.remoteserver/file.html | 
 Select-String '(http.*pdf)'

is it possible to output the first match in one line without having to create the variable?

Yes, you can use a ForEach-Object call to extract the capture group of interest:

Invoke-RestMethod -UseBasicParsing https://www.remoteserver/file.html | 
 Select-String -List '(http.*pdf)' |
 ForEach-Object $_.Matches[0].Groups[1].Value 

Note that -List makes Select-String stop after the first line on which a match is found, i.e. after the first match in the input; omit it to find all matches in the file (one per line; to find multiple matches per line, add -AllMatches).

^{[1] Making PowerShell support process substitutions is the subject of this feature request on GitHub.}