Backing up a MongoDB cluster with mongodump?
Upgrading to MongoDB 3.4 was necessary, since the cluster string did not appear to work with 3.2.

Also, based on the blog post for 'importing data', a small tweak to the host parameter seemed necessary, in the form of adding the 'Cluster0-shard-0/' prefix :

mongodump --host "Cluster0-shard-0/cluster0-shard-00-00-2djno.mongodb.net:27017,cluster0-shard-00-01-2djno.mongodb.net:27017,cluster0-shard-00-02-2djno.mongodb.net:27017" \
  --authenticationDatabase admin --ssl --username admin \
  --password mypassword --oplog -o /tmp


Edit: updated the response based on @jjussi's feedback. Also, we aren't trying to avoid using the mongo cloud backup, which is more convenient, it is that we just feel better having our own local copy, for various reasons.