You can't download more than one file at a time on the mac web interface for icloud drive. So, you have to jump through these hoops, as a work-around:

1. Create a new dir in icloud drive.
2. Move the desired files into the new dir.
3. Go to the iphone, find the new dir, and compress it on the phone by hold-tap and selecting compress from the pop-up.
4. It shows up as a zip on the web; download the new zip file.
5. Every file has the additional _MACOSX/dir/.filename component and just delete those.