Yes, absolutely! You can download your entire archive of articles that's in your Authory account anytime. Please note that this doesn't work from mobile devices, only desktop computers.
Simply log in to your Authory account and click "Account Settings" in the sidebar menu. There you'll find a dropdown labelled "Download all your articles as one HTML per file". Alternatively, you can also download all your articles as one XML file.
Currently, you can't download your articles as PDF files. However, you can create PDFs based on the HTML version of your articles that you can download. There are plenty of free services who can help you with that, e.g. PDFcrowd.