@NitiS22 Have found a couple of articles in the community. 

https://collaborate.pega.com/question/can-we-download-multiple-excel-files-click-button

https://collaborate.pega.com/question/how-create-zip-archive-and-attach-case

I dont think there is an OOTB option of combining multiple attachments and download a zipped version of them.

You need to write a custom code

* either at server level (An Activity/ Function which takes a pagelist of attachments as input and write java code to create a java.util.zip.ZipOutputStream object and return it)

or

* Create a client side solution if invoking/ consolidating download trigger of multiple files and create a zip file in the javascript function for the same. 

Regards,

Ravi Chandra.