In order to download all student submissions for an assignment, you will want to navigate to that particular assignment page. On the right side of the screen there will be a column of related items where you are able to select Download Submissions. If you would like to download all submissions from multiple assignments you will need to repeat this process for each assignment. 

Further resources:

• How do I bulk download assignment submissions in Canvas?
• How do I download assignments in SpeedGrader?