Recently, I had the same question and went to the Genius Bar for help.
- Sync your iCloud photos with Photo App (the native Mac one)
- Photo App > Preferences > iCloud tab > Tick iCloud Photo Library > Download Originals to this Mac > and also Tick My Photo Stream > Tick iCloud Photo Sharing
- Wait for them to sync
- Open up Photo App
- Select the files and drag them to the external hard drive
- I was able to retain the original photo (both quality and size) in jpg format; however, for files they are formatted in m4v as opposed to mov. Also the dimensions are smaller if I were to download each one of them directly from iCloud (Still waiting for a solution)
- Done
