Hi @Richard.Costin,
Thanks for the message and welcome to the community! 
At this point in time, we don’t have one-button-push solution to export Project Data and media. You can certainly export any data you’d like using the More > Export All to CSV menu, but it is a manual process that needs to be done for each entity, either Project by Project or from a Global entity page.
If you want to backup all linked media and files and this is something you will need to do often, the best way around that would be to write a script to export it out.
I encourage you to head to our roadmap and “Submit Idea” for our product team’s consideration. This is a request I’ve heard a few times before so it’s important they hear what your needs are. Head to this post to learn more about submitting a request: How do I submit an idea or feature request?
Cheers,
Beth