Thanks to u/TheB4ber for opening my eyes to Connect-PnPOnline.

This script will use your current credentials to access the desired SP site and download all files locally.

Feel free to improve this script as I wrote it quickly.

function downloadFilesFromSp(){

[CmdletBinding()]
param(
      [Parameter(Position=0,mandatory=$true)]
      [string]$spVer,
      [string]$url, 
      [string]$driveLtr,
      [string]$localPath)

BEGIN{

    #If Module Does Not Exist Then Install based on provided version
    if (!(Get-Module -Name ('SharePointPnPPowerShell'   $spVer))) {
        switch($spVer){
                   "2013"{
                   Install-Module SharePointPnPPowerShell2013
                   }
                   "2016"{
                   Install-Module SharePointPnPPowerShell2016
                   }
                   "2019"{
                   Install-Module SharePointPnPPowerShell2019
                   }
                   "SPO"{
                   Install-Module SharePointPnPPowerShellOnline
                   }
               }
        } 

       #Create PSDrive
       Connect-PnPOnline -Url $url -CurrentCredentials -CreateDrive -DriveName $driveLtr 

       #Get All Items Recursively

       #$siteItems =  (gci ($driveLtr   ':'))
       $siteItems =  (gci ($driveLtr   ':')) | ?{$_.GetType().Name -eq 'Folder'} )

       #Separate Folders and Files
       #$folders = $siteItems | ?{$_.GetType().Name -eq 'Folder'}
       #$files = $siteItems | ?{$_.GetType().Name -eq 'File'}

    }
PROCESS{
        #Create Folder Start
        #$folders | ForEach-Object { New-Item -ItemType directory -path ($localPath   $_.ServerRelativeUrl) -force }


        #Copy Files Start
        #$files | ForEach-Object { Copy-Item ('Z:'   $_.ServerRelativeUrl) -Destination ($localPath   ($_.ServerRelativeUrl -replace $_.Name)) } 


        #Create Root Directory            
        New-Item -ItemType directory -path ($localPath   (Get-PSDrive $driveLtr).CurrentLocation) -force | Out-Null

        $siteItems | ForEach-Object { 
                Copy-Item ((Get-PSDrive $driveLtr).Name   ":\"   (Get-PSDrive $driveLtr).CurrentLocation   "\"   $_.Name) -Destination ($localPath   (Get-PSDrive $driveLtr).CurrentLocation) -recurse -container
                }

    }
END{
    #Remove PSDrive
    Get-PSDrive $driveLtr | Remove-PSDrive
    }
}

downloadFilesFromSp  -spVer 2016 -url 'https://sharepoint.contosos.com/{site}' -driveLtr 'Z' -localPath 'C:/temp'

Edit:

I optimized the code but I’m sure there’s more that can be done. This should be faster. I also left my old code in but commented out in case you want to use the more broken down method.

Obligatory I am not responsible for how you choose to use this I just wanted to provide a method to quickly backup data from a SharePoint site