download test cases with test step, Assignee, Planned Exec Date, from test cycle

I'm not aware of being able to do this from the perspective of a Test Cycle.  The closest you could get to doing it that way is from a report (see final paragraph below), but...

 

You can export test cases from the Test Case page; selecting your test cases and then clicking on the More>Export to Excel/XML option.  I'm guessing you've tried this already and it doesn't have everything you need or it doesn't work because you want to only export test cases from a specific test cycle.  Side note: I find it useful to always structure my test case folders to the be same as my test cycle folders.

 

There is a post on the Zephyr Scale roadmap that might be what you're looking for, and you can vote for it here: When exporting reports, the step results should also be included - Zephyr Scale | Product Roadmap (productboard.com)