Eu concordo com o cjc. Se você realmente está limitado a acima do comando que permitirá que você baixe os arquivos, coloque local-path [caminho-remoto] e scp-lo de volta. Bom link aqui também.
Eu usaria algo como winscp , porém, torna as coisas muito mais fáceis.
sftp> help put
USAGE: put local-path [remote-path] [-bg | -fg] [-s] [-o] [-r] [-b | -lf]
DESCRIPTION: Upload file.
PARAMETERS:
-bg Start (queue) transfer in background.
-fg Start transfer in foreground.
-s Include subdirectories (recursive).
-r Force existing incomplete file to be resumed.
-o Force existing file to be overwritten.
-b Upload all files as binary; no conversions.
-lf Use auto detection upload mode. Text files are uploaded
in Unix format, with LF as the line delimiter.
NOTES:
- If both '-r' and '-o' are specified, resume is tried first,
and if that fails, overwrite is used.
- '-std' and '-t' transfer mode options are also available
when SFTP version 4 or higher is in use.