Make sure that the size of your photo library will fit on the available storage space of your Mac. If so, go to Photos on your Mac > Click on the word Photos in the top left > Settings > iCloud > Download Originals to this Mac.
This insures that your entire photos library, which is still live syncing and connected to your iCloud account is also being held on the physical hard drive on your Mac. You now have the same library, constantly updated to date; on your Mac hard drive and in iCloud. The best of both worlds. If your internet cuts out or the apocalypse happens and their servers go down you'll have all your photos on your Mac. It may take a day or two for that background process to complete.
However, if you want a true backup go to Finder then click on Go at the top of the screen then click Home then Pictures. You will find a single package file that represents your entire photo library, always updating and changing. Do you not move or alter that file but you may copy it to an external hard drive, then put it in a faraday bag and / or safe and you've got a solid backup of your photos. If you want just the plain photos and videos themselves and not that proprietary photo package file then after your iCloud Photos finish that earlier process I spoke of you can simply open up your regular Photos app then select photos then export them to an external hard drive.
