There are two possible ways that you can download files in Canvas.
Download from "Files"
One way is to click "Files" when you're in a course. After clicking "Files," you should see an "All Files" folder. Hover your move on the right and you will see what looks like a cog. Click the cog/settings icon and you will get a "Download" option. Click "Download" to download all your course content in one click. Here is a screenshot for your reference:
Download from "Modules"
If your instructor disabled "Files," then you will have to download your files through "Modules." The benefit of this method is that you walk through the course at the pace your instructor wants you to move through the content. See the following two screenshots on how to download files through "Modules":
After you click the file from the "Modules" page, you will see a screen similar to the one below:
If you are still having trouble downloading files in your course, click the "Help" icon located at the bottom left of your Canvas window or email firstname.lastname@example.org.