You can use the “native” iNat data export tool:
https://www.inaturalist.org/observations/export
Or you can download iNat data from GBIF.
All things being equal, downloading from GBIF is preferred, especially if you are using the data for a publication or downloading large amounts. But there are some types of data or observations (ie, non Research Grade) that you’d want to use the iNat tool for.