Download Multiple files in one HTTP request

It is possible to send a multipart response in HTTP:

In general, HTTP treats a multipart message-body no differently than any other media type: strictly as payload. […] an HTTP user agent SHOULD follow the same or similar behavior as a MIME user agent would upon receipt of a multipart type.

[…] If an application receives an unrecognized multipart subtype, the application MUST treat it as being equivalent to "multipart/mixed".

But since Firefox is the only browser that I know about to support such multipart responses (apart from multipart/byterange), you should use some archive file format for this purpose.

That is practically not usable due to poor browser support. You can pack them into a tar or zip file at server side and serve the archive file though.