@ak_za Hi and welcome! You can download the video and a VTT file containing the captions. Downloading a video that contains the words inside the video is not possible.
The video download is described here: https://docs.microsoft.com/en-us/stream/portal-download-video
Downloading captions is described here: https://docs.microsoft.com/en-us/stream/portal-add-subtitles-captions#download-subtitles-or-captions