You may use this PowerShell script to download the files using multiple parallel connections:
Automating transfers in parallel connections over SFTP/FTP protocol

Hello.
I've made a small batch script to automatically download important files from a server but the problem is when downloading small files like user data which is generally a few bytes with thousands of files, the download speed drops to 0.1KB/s.
I understand that this is pretty typical because it needs to send files through individual connections and starting a new connection takes a good chunk of time but is there any way to mitigate this bottleneck or get even slight improvements to transfer speed?
The only thing I've tried so far is to set "SendBuf=0" as a rawsetting when opening the connection.