What kind of tests should I write in my case?

I'm kinda new to unit tests, functionnal tests etc but I want to make my application more reliable than ever. I'm a little confused as to the best approach for my case, so let me describe it to you.

My Symfony service does this :

1. connect to a remote server through SFTP
2. copy some XML files locally
3. parse those files
4. save the parsed data in database

My service is working fine but my question is : how can I test this kind of behaviour ?

Thanks a lot !