Is there quick way to download the 85 time series (already transformed, i.e., seasonally adjusted and stationarized, if necessary) that are used to construct the Chicago Fed National Activity Index (CFNAI)?
Friend. Yes there is. You can use the St. Louis Federal Reserve Economic Data download website (FRED) https://fred.stlouisfed.org/series/CFNAI
Not sure about seasonal adjustment. For seasonal adjustment you may need a statistical computing software to do that and you would have to choice your parameters.