You could do this a couple of different ways using the search capabilities.
If you would like items from a Specific Sprint you can download them using: Sprint = "Title of Your Sprint" . This can also be turned into a range by replacing the "=" with " in (Title 1, Title 2, etc).
If you would like items for all previously completed Sprints you can use: Sprint in closedSprints(). If you want to exclude items that are still being worked on add in "and Spring not in openSprints()"
With either of these you can sort by the Sprint by adding the "Sprint" column and should give you some issue grouping.
Then by clicking on the "Download" button in the top right you can export all fields to your desired format.
Hope this helps,
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