You are asking about the old Document object, which does not appear to be supported in lightning.
This question is basically a duplicate of Access Document(pdf or doc) without Salesforce login. The answers there are still relevant to you, especially considering that you are still in classic.
This can be done using the Salesforce Data Export tool; see Trailhead
The attachments will be downloaded if you
Select Include images, documents, and attachments and Include Salesforce Files and Salesforce CRM Content document versions to include these items in your export data.