If you have a message with multiple files attached, in the reading pane you'll be given the option to download all of them at the same time.
Click Download All below the message text to download all the attachments at once.
Note: Occasionally, you may not see the "Download All" link above a message with multiple attachments. Sometimes the manner in which an individual file is named prevents it from being grouped together with other files. In these cases, you'll need to download attachments individually.