You can use a list with a for loop to accomplish this. For example you could try something like this:
arcpy.env.workspace = r'your\sde_gdb\here'
outgdb = r'new\gdb\location'
for fc in arcpy.ListFeatureClasses(): # this lists feature classes inside gdb
fcname = fc + '_copy'
arcpy.FeatureClassToFeatureClass_conversion(fc, outgdb, fcname)
OR you can make a list or tuple containing the names of the feature classes to copy and use a for loop:
import arcpy, os
from os import path as p
sde_gdb = r'your\sde_gdb\here'
outgdb = r'new\gdb\location'
fclist = ['Roads', 'Structures', 'Parcels', 'Hydrants']
for fc in fclist:
fc_path = p.join(sde_gdb,fc)
fcname = fc + '_copy'
arcpy.FeatureClassToFeatureClass_conversion(fc_path, outgdb, fcname)
