First, you need to go to the Dashboard and select the Leads option after clicking on the three-dotted dropdown menu:
Then select the desired date range and click the Download button:
The Download Button (shown above) located at the top right corner will allow you to download your entire list in three different formats (txt, csv, xlsx).
Note: You cannot download the leads for an entire group or workspace. You can download leads selectively for one experience or for all the experiences of a page. Click on the leads symbol in the main dashboard next to the page and make sure you select the desired timeframe in the calendar in the upper right corner. Then you will view the leads from that time frame only and you will be able to download them together. Make sure that you have one page or one experience selected from the dropdown on the upper left side of the leads view, otherwise, the Download button will be greyed out.