Download photos from iCloud

Photos can’t be transferred directly from iCloud to an external hard drive for that you need to set up iCloud photo library see the article https://support.apple.com/en-in/HT204264

And its preferences https://support.apple.com/en-in/guide/photos/pht5156cc968/4.0/mac/10.14 , open finder > Go > home > your user name > pictures either drag and drop Photos Library.photoslibrary to an external hard drive , the second method is right click on Photos Library.photoslibrary and click on show package contents in the upcoming column , you can also drag and drop complete masters folder to an external hard drive that is connected .

Also as per the article https://support.apple.com/en-in/guide/photos/pht6d60d10f/mac

• Manually copy your library to an external storage device: Drag the Photos library (by default in the Pictures folder on your Mac) to your storage device to create a copy.
• See this article also Photos library - Move your Library to an external storage device

One option would be to open Photos with the option/alt key held down and create a new system Library on the external. Once everything is downloaded, reopen Photos with the option/alt key held down, and switch back to the Library on your internal drive. Switch as required/desired.