Is there any software out there that will collect all your cloud data and back it up to an external hard drive?
Maybe. Which cloud service do you use?
OneDrive, Google Drive, iCloud.
I may have just thought of a way. SetApp has an app, CloudMounter, that shows your cloud drives as a disk. I could probably set up a backup from that.
I sync my files from Google Drive to an external drive using Google Drive for Desktop. After installation select Preferences, switch from Streaming to Mirror Files, then change the default location to your external drive.
Install Drive for desktop - Google Workspace Learning Center
Backup with your utility of choice.
iCloud only syncs to your Mac’s internal drive. (/Users/Ben_Wah/Library/Mobile\ Documents)
They can be backed up using your choice of utilities, Time Machine, etc., or copied using ChronoSync, etc.
As I recall OneDrive is no longer able to sync to an external drive.