From the call menu bar, you can take several actions on a call, including adding the call to Listen later, adding it to the library, and sharing the call (or part of it) internally or with customers.
Click the More menu 
at the far right to open more options. What you see here depends on the Permission Profile that's assigned to you. For example, whether or not you see the download video / download audio options depend on whether you are allowed to download calls, according to your permission profile.
Actions you can take from here include the following:
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Download video
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Download audio
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View transcript
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Set call as private
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Delete recording
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Associate call to account or opportunity
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Move call to another workspace
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Transcribe call in correct language
How to download a call video or audio
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Go to the call you want to download.
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Select the More menu
in the top right of the call. -
Select Download Video or Download Audio.
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You'll be asked to confirm that you want to download the file in the next screen. Click Download.
Note
When downloading the audio or video of a call, you are warned that the file may contain personal information subject to various data protection regulations. Please make sure that any personal information in the file is kept confidential.