Leaving my job, is it legal to download a copy of my work from their cloud?

Probably need to read your employment agreement.

It could be a violation of an employment agreement or your employer's rights. The work you perform for the employer belongs to the employer. The answer may depend on what it is that you try to download.

No. Your work product generated during your employment is presumed to be your employer's property. Your solution, if the documents are as innocuous as you describe, is to get the written consent of the employer to take copies, stating in writing that they will not be used in violation of any trade secret rights the employer may have.