I exported a hosted feature layer with a related table to a file geodatabase and inspected it in ArcGIS Pro and it looks like the Global IDs and the ParentGlobalIDs remained the same. Makes sure you test this out before you implement it for real. I'm making an assumption you are using hosted services in AGOL but i don't know why this wouldn't work if you are working with AGS services, just test it out.
When you are on the item detail page in AGOL, you should see a set of options like below - pick export data then export to fgdb and specify where you want the output. Then download that and extract the .zip file this creates to where you want. When you bring it into Pro it will have the same naming as your hosted data, so I would recommend renaming the temp export data so you can distinguish them easily in the join/relate tool or any other geoprocessing tools you might use.
