So this is actually an interesting term. Looking it up from Wikipedia...
The term "sideload" was coined in the late 1990s by online storage service i-drive as an alternative means of transferring and storing computer files virtually instead of physically. In 2000, i-drive applied for a trademark on the term. Rather than initiating a traditional file "download" from a website or FTP site to their computer, a user could perform a "sideload" and have the file transferred directly into their personal storage area on the service.
The advent of portable MP3 players in the late 1990s brought sideloading to the masses, even if the term was not widely adopted. Users would download content to their PCs and sideload it to their players.
So as applied to phones it originally meant a particular type of download and install - rather than installing directly to your phone from an app store, you have somehow obtained the file on your PC, transferred the file to your phone, and then installed it. In that context, downloading an APK directly to your phone and installing it would not be sideloading.
However, semantics have shifted somewhat and now it's used generally to refer to any install that isn't directly from an app store of some kind, and requires downloading an actual package file and then installing it.