I am trying to download all of my images and videos on iCloud.

Try to select them all with command + A key combination(not sure if that will work)

See My Photo Stream FAQ - Apple Support. If you're running Windows see What is iCloud for Windows? - Apple Support

tt2

If you mean at iCloud.com, go to the albums view, select the all photos album, choose “select photos” from the top of the page, select the first image and shift-select the last.

However in my experience they don't download in any particular order so if it goes wrong during the download, you can be left with a bit of a mess, my advice would be to do them in large but not too large groups.