Save out Backup Database to local file
If you're in the Craft 2 control panel, and you click on Backup Database, it should always store a .sql file in craft/storage/backups. 

If you have the Download Backup box checked, then also your browser should download a .zip file containing that .sql file.

Other notes:
It appears to work the same in Craft 3
If you do Clear Caches first, you may get a significantly smaller file.