You can fulfill this requirement by using the following steps -
1- Open Mass File Download App --> Go to the About Mass file Download Tab.
2- Scroll down and click the File Download Configuration section which is under MFD Page Configuration Settings and enable below two toggles -
I) Download Files in ZIP format
II) Download the Zip of Files in SubFolders
3- Click on the Save Button.
4- Now Go to the Mass File Download tab and Download Files & Attachments.
5- Open Downloaded Zip File, Here you'll see the Folders named as the Record Name.
6- Under this record name folder, it's showing all Files and Attachments which are belonging to the specific records.