Option to easily download entire Photos library so to have local backup copy

Here's how you can get a full Photos library downloaded from iCloud Library:

1 - create a new, empty Photos library on a local external hard drive that is formatted APFS or OS X Extended (journaled) with ownership set to be ignored. It should be connected directly to your Mac.

2 - set the library to be the System Photo Library and enable iCloud Library. DO NOT enable Optimize Mac Storage.

3 - leave the Photos app open and in the background. Leave your Mac on all night, just use the screensaver and turn off this slide switch to prevent the Mac from sleeping.

4 - have patience. It probably will take a week or two to complete the download.

5 - when the download is completed, disable iCloud Library. If the library is to be your working library then keep it as the System Photo Library.

If you are using iCloud Photos on your Mac and your local Photos library on your Mac is using "Optimize Mac Storage", because you do not have enough free storage on the internal disk of your Mac, I would use a slightly different method from the one recommended by Old Toad. The problem is, you would have continually to switch your System Photos Library between the library on the external volume and the library on the internal volume. And then switch iCloud Photos to the library you want to use. And every time you switch, you would have to wait for a new syncing and download from iCloud. If your library is large, this could take several days, even weeks, and in the long run it would be cumbersome.

If you have a second mac, do this switching on the second mac, so you can continue to use your system photos library on your internal drive. With only one mac use at least a second user account. You can have a different system Photos Library on an external volume in the second user account, so one user can continually download the photos to the library on the external, as described by OT, while your main user account can still use an optimized library on the internal volume. I described this procedure a few years ago in a user tip: How to back up an optimized iCloud Photos Library - Apple Community