We had a similar problem with the Eastern Phoebe so I built a nest platform attached under the soffit. Placed just outside a window they can be observed feeding the little ones. They prefer millers hatching and flying up from the lawn then catching on the wing. We've had them every year for 37 years.
Those are on a building here. Small birds still built around them. The owners added chicken wire which kept pigeons out but not small birds.
Unfortunately, the whole building will be demolished tomorrow. Poor birdies!
I would get some expanded metal from HD, and cut it to fit on the side of the downspout all the way up and over to the eave. Make one for each side, screw it to the downspout.