Post-GDPR, you can export an archive of your account.
Pre-GPDR, you could bulk export all your Strava activities as GPX files.
Whilst a few solutions existed, they are command line scripts which offered very little flexibility. I needed to do this as GIS applications do not parse FIT files. I decided to create this package after spending a few hours searching for a simple solution to quickly convert hundreds of FIT files to GPX. It also includes tools to convert Strava data downloads in bulk to GPX. This is a simple Python library for converting.