Its been assumed here that you are familiar with following;
SharePoint login to SharePoint (Online / On-premise) SharePoint Document LibraryUpload document to SharePoint Document Library
Lets assume that you have a document library in SharePoint with a set of document which you want to download together;
You will have to select those three files by checking on the checkbox for given files;
Once you select those files, you can click on the Download button from top menu;
Note: You will not see the download button until you select the file.
You should see a download box which will ask you to save the ZIP file;