The Mass File Download Lightning Tab feature enables you to select multiple objects at once and download all the files related to those objects in batches of 5,000
If you would like to learn more about this feature, please visit the following link: Mass File Download Lightning Tab
PS: View Mass File Download, Salesforce file download app on Salesforce AppExchange: https://appexchange.salesforce.com/appxListingDetail?listingId=a0N3A00000EcsAOUAZ