One thing you may notice when on a marketing list record, the Export to Excel button doesn’t give you as many options as you are used to when you click it from the marketing list members view.
No Excel Online option or Dynamic Worksheet. Does this mean that it can’t be done? Not necessarily, just not in that way.
Using Advanced Find, create a view of contacts filtered on the related marketing list entity.
From this view you will be able to export to Excel, including Excel Online and dynamic worksheets.