Note: This step only comes after dumping your MySQL file(which most of the answers above have addressed).
It assumes that you have the said dump file in your remote server and now you want to bring it down to your local computer.
To download the dumped .sql
file from your remote server to your local computer, do
scp -i YOUR_SSH_KEY your_username@IP:name_of_file.sql ./my_local_project_dir