I copied some video files to a folder in iCloud and when I opened the iCloud Drive app on my iPhone and selected a file, it started downloading. But if I went back and selected the file again, the download started from scratch. So if I have 100 movies, I have to select a file, wait for it to download and select the next one, and so forth. I searched for an option to download offline all the files but couldn't find one.
I don't know a way to download multiple file at the same time with iCloud Drive. But you can maybe solve the problem with AirDrop. If you have multiple files, for example in Finder on your Mac selected, you can send them all with only one click to your iPhone. The same works also from iOS-Device to iOS-Device.