When you are following a tutorial with exercises on a Jupyter Notebook Server, you may want to download and work with those files locally, but there is no obvious way to download all files as the Download button disappears when multiple files/folders are selected.
Click on the Jupyter logo on the top left and navigate to the directory that contains the files you want to download; then open the terminal in Jupyter as shown below:
Run the following command to package all files into one.
tar chvfz download.tar.gz *
Then click on the Jupyter logo to get back to the root directory. All files will be packaged in the download.tar.gz file. After downloading it, you can open it with 7zip on Windows or with the command below on Ubuntu.
tar -xvzf download.tar.gz *