You can use python SDK in order to retrieve blob files from a storage account on azure. First you will need to get your connection string for the storage account from the access keys section.
Then you can execute the below python code.
As seen from the screenshots, I have a container named files
And inside the container I have a test.txt file.
By running the python script (in my case I added on a container) you will get the files inside the blob container.