It's possible and relatively easy, even when you need to use certificates for authentication (typical in AWS environments).
The command below will copy files from a remotePath on server2 directly into your machine at localPath. Internally the scp request is proxied via server1.
scp -i user2-cert.pem -o ProxyCommand="ssh -i user1-cert.pem -W %h:%p user1@server1" user2@server2:/<remotePath> <localpath>
If you use password authentication instead, try with
scp -o ProxyCommand="ssh -W %h:%p user1@server1" user2@server2:/<remotePath> <localpath>
If you use the same user credentials in both servers:
scp -o ProxyCommand="ssh -W %h:%p commonuser@server1" commonuser@server2:/<remotePath> <localpath>
ssh proxycommand
– thrig Apr 03 '17 at 16:04