If you are using Internet Explorer:
From the Modern UI: Click "Open With Explorer". This will switch to the Classic UI and then open a Windows Explorer that will display all of the files and folders in that library.
From the Classic UI: Click the LIBRARY ribbon then in the "Connect & Export" section click "Open with Explorer" (you may only see the icon for this).
(You can now drag file between SharePoint and local drives.)
Go to the second library and repeat.
Select and drag and drop files between the two Windows Explorers just like you would between two Windows drives or network shares.
- If displayed, do not copy the "Forms" folder!
- Document metadata may be lost depending on the libraries, columns, Content Types and Features enabled.