Files that you upload to a channel are stored in your team's SharePoint folder. These files are available in the Files tab at the top of each channel. Files that you upload to a one-on-one or group chat are stored in your OneDrive for Business folder and are shared only with the people in that conversation. These are available in the Files tab at the top of a chat.

Files shared in a Team/Channel

1. From Teams online or a Teams desktop client click on the Files tab on the left
2. click on Microsoft Teams on the left under Views
3. Select More options to the right of the file name and then select Download

Files shared by you in Teams

1. Files that you shared as part of a chat are located in your OneDrive in a folder called Microsoft Teams Chat Files. 
2. For instructions to download multiple files from OneDrive please review OneDrive: Download files and folders

Files shared to you and by you in a specific chat

1. Any files that were sent to you in a specific chat can be found in the Files tab at the top of that chat.
2. Select More options  next to the file name and then Download