Unfortunately, there is not a simple method available in SharePoint Online to backup your site collections.You can think about one of the option:
- Use the 3rd party tools to move the sites from online to local.i.e. ShareGate or Metalogix etc.(some offer free trial).
- Contact the SharePoint Online support and see if they give you the backup files.
- Another method is, Manual move the data from Online to local.
- Or you can save each list / library individually and then restore in the same structure way...this required alot of effort.
*Note: Even if you able to get the Backup file of SharePoint online site collection but you will not able to restore it to your local farm. Reason: SharePoint Online always higher build version so that's why 3rd party tools will be best option.