Yes, it is possible to give actual filenames instead of Salesforce IDs i.e Files are downloaded with the actual file name. Optional, is to also suffix file ID to the file name while downloading.
PS: View Mass File Download, Salesforce file download app on Salesforce AppExchange: https://appexchange.salesforce.com/appxListingDetail?listingId=a0N3A00000EcsAOUAZ