If you have an Alexa device, you should know that all of your recordings are stored.
AcceXa can be used to download all voice recordings stored on Amazon servers.
Note that these recordings usually include not only commands given to Alexa, but few seconds before and after, and your talking that was not a command or request from Alexa. Sometimes, they are also kept and stored. 
There is no formal interface to download these recordings from your Amazon account.
 
Source code: Python.