With Twitter teetering on the edge of collapse, it’s probably well past the time to download your archives. But try anyway: it’s not like the service is going to get any more reliable in the near future.
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Open Twitter on the web and navigate to More (in the navigation pane) > Settings and Support > Settings and Privacy to get to Settings. Then navigate to Your account > Download an archive of your data and click the “Request archive” button. Which is a warning sign: you can’t just download the archive, you have to ask for it and then hope that Twitter assembles the archive and then lets you download it.
Anyway, you should have email and text message-based methods for affirming the request. And then … you wait. I requested mine via email, and it was acknowledged. And now all I can do is hope, and wait.
Which is kind of the story of Twitter right now, when you think about it.