To download files from multiple objects you have to follow the below steps - 


1. Go to the 'Mass File Download' tab and click on the 'Related Files & Attachments' subtab.

2. Select Object --> Select File from the Select Object drop-down.

3. In the other Select Object (as shown in the below image) --> Select multiple objects and the hit 'Search' button, here up to 50000 files will be searched.

4. Click on the 'Select All' checkbox and then download the files as shown in the below image -

Note - If you need your downloaded files in zip and subfolder format then on the "About Mass File Download' tab, turn ON the below 2 toggles and hit the Save button.