You can now download the activities CSV for all the athletes you follow on the /athletes page. Click Options → Activities CSV:
It will download last week or this week and respects the selected athlete tags. You can get a lot more data in JSON format if you copy the link and remove the .csv.
This endpoint is also part of the public API: GET /api/v1/athlete/{id}/athlete-activities{ext}
- oldest: yyyy-MM-dd
- newest: yyyy-MM-dd
- tags (optional): Comma separated list of athlete tags to match