Let's say you want to download all the files in a SharePoint document library 2013, do run the following Power Shell commands and it works like a charm.
$Site = Get-SPSite “http://mysite/sites”$files =$Site .RootWeb.GetFolder("My Documents").Filesforeach ($file in $files) { $b = $file.OpenBinary() $fs = New-Object System.IO.FileStream(("D:\Docs\"+$file.Name), [System.IO.FileMode]::Create) $bw = New-Object System.IO.BinaryWriter($fs) $bw.Write($b) $bw.Close()}
The files are stored in D Drive of your local machine.