Hi Divya,
Could you confirm if you are using the Knowledge tab in SDM environment?
I have tested the same in house and checked that there is no export option visible for copying the knowledge articles from Service Desk.
You can search for knowledge documents but I don't see an OTB feature to export the same.
You may want to raise and idea in communities in case if you don't find any further answers for requesting the feature. Hope this answer helps.