You will find this function in the project settings, together with the other export options.
To do this, open your desired project and click on the name of the project in the upper left corner. This opens the project settings.
Then scroll to the "Actions" section and select "Export files".
You can then select exactly which files are to be downloaded. Download either all files of the active tasks, or the files of a currently active filter and decide whether to include or exclude archived tasks.
In addition to the steps described above, you can also download your files as ZIP files via the JSON or CSV download. To do this, follow the steps described above and select the preferred download format. Once you have generated the CSV or JSON file, you can select "Download with files" below the download option.
This will generate a ZIP file as described above with the attached files of your project that match the conditions of the CSV or JSON file.