Copy file from SFTP to local

Can someone help me to write a batch script that will copy the file from SFTP server to local machine

Please start here:
https://winscp.net/eng/docs/guide_automation

Note that WinSCP GUI can actually generate such script for you:
https://winscp.net/eng/docs/guide_automation#generating

Thank you, This helps me a lot. Is there any way to download .TXT as .xls format in WinSCP through same script?

Are you asking if WinSCP can covert .txt files to .xls for you? No, it cannot. Or do you want it to just rename the files while downloading them?