Download pictures from the icloud to an external hard drive?

One option would be to open Photos with the option/alt key held down and create a new system Library on the external. Once everything is downloaded, reopen Photos with the option/alt key held down, and switch back to the Library on your internal drive. Switch as required/desired.

Article if for iPhoto, but the basics are the same.

iPhoto: Move your iPhoto library to a new location

Photos library - Move your Library to an external storage device

Try here > Archive or make copies of the information you store in iCloud - Apple Support