There's nothing like "WinSCP server". WinSCP is a client that can connect using various protocols to a remote file server. How you implement the same in Python depends on actual protocol you use with WinSCP. Based on your reference to "PuTTY", I assume you use SSH/SFTP.
For an SFTP download, use Paramiko Python library with its SFTPClient.get
method. An example of a download of a single file:
with paramiko.SSHClient() as ssh:
ssh.connect(host, username=username, password=password)
with ssh.open_sftp() as sftp:
sftp.get("/remote/path/file.txt", "/local/path/file.txt")
You will also have to deal with the server's host key verification.