O comando é:
wget -r -np -l 1 -A zip http://example.com/download/
Significado das opções:
-r, --recursive specify recursive download.
-np, --no-parent don't ascend to the parent directory.
-l, --level=NUMBER maximum recursion depth (inf or 0 for infinite).
-A, --accept=LIST comma-separated list of accepted extensions
Você pode personalizar as extensões necessárias usando o parâmetro -A
referência
https://stackoverflow.com/questions/13533217/how-to-download-all-links-to-zip-files-on-a-given-web-page-using-wget-curl