I wanted to show Einstein analytics datasets or lenses in the lightning component and the user should have a button to download the datasets as excel or csv. Is there anyway to do it? Please advise.
You can embed Einstein Analytics Dashboards as described here:
(I'm not sure whether lenses can be embedded, but you can just put that lens on a dashboard and then embed that dashboard)
To allow a user to download a csv or xls you have to give him the appropriate permission set: https://help.salesforce.com/articleView?id=bi_setup_download_enable.htm&type=5