You can download whole courses from an array of tutorial sites with the CLI tool youtube-dl. In the example further down I'm using my Pluralsight account to get videos from a course at their site. Here is a list of all supported sites that you can download from with this tool
The flags you have to supply may vary depending on which site you make a request to.
You can get a free 3 month trial to Pluralsight by signing up for free to Visual Studio Dev Essentials