I know I figured this out once and it has been discussed many times on the forum. I remember there was a way to slide something up, it was not very obvious, but eventually you were able to get to a menu that allowed you to show only the music that you downloaded on the iPhone. Not everything else you may have purchased from iTunes, not Radio.
Now I updated my iPhone to iOS 10.3.3 and I can no longer find this option. I am sure they changed it, or perhaps eliminated it.