One of my clients recently faced this issue of downloading an Azure Storage blob container with complex path of folders and sub-folders to his local machine. I stumbled onto this stack overflow post . The post however doesn't give a complete resolution but gives a pretty good idea of what needs to be done.
What does your humble next door TE does in this situations?
Well, he rolls up his sleeves (already rolled up in this sweltering Delhi Heat ) and wrote a small script to help you download a blob container with paths and sub-paths to your local machine while preserving the directory structure.