Individual files can be downloaded on the explore the data page. If you're interested in downloading the whole dataset you'll probably want to do using a script.

CSV

The csv files for the date YYYY-MM-DD can be downloaded at the url:
https://subwaydata.nyc/data/subwaydatanyc_YYYY-MM-DD_csv.tar.xz
For example, the data for 2023-09-15 is at
https://subwaydata.nyc/data/subwaydatanyc_2023-09-15_csv.tar.xz
Note that month and day numbers always have two digits. To download all csv data for September 2023, you can run a Python script like this: 
import requests
for i in range(1, 30):
    file_name = f"subwaydatanyc_2023-09-{i:02}_csv.tar.xz"
    url = f"https://subwaydata.nyc/data/{file_name}"
    response = requests.get(url)
    with open(file_name, "wb") as f:
        f.write(response.content)

GTFS realtime

Currently we do not offer an easy way to download all of the GTFS realtime files. This is because we are concerned about bandwidth charges from our hosting provider. The total GTFS realtime dataset is now over 50GB, which would cost us over $0.50 for every download of the full dataset. If you have ideas for how we can distribute the full dataset without paying an unbounded amount of money, please file an issue on the GitHub repo.