It got sent back via orbiters ranging from the ESA's Trace Gas orbiter, the Mars Reconnaissance Orbiter or Mars Odyssey. Through those they can get up to 2 megabits per second [0] back to earth but that depends a lot on the orbiter it's talking to at a given time. The TGO is doing a lot and is one of the early high speed relays for the data from Perseverance. [1] There's also direct links to and from Earth but they're significantly slower.
The more impressive part is that the sky crane shot pictures, video and data and had to download everything to the rover before it was cut loose. As soon as the rover wheels touched ground, the tether was cut and the lander flew away.
I'd like to know how they cut/released the tether, and if there's any fallback in case 1st release attempt fails. The entire mission is fucked if the tether release failed, or if the sky crane tries to fly away while still tethered.
They use explosive bolts that attach the tether to the deck of the rover. They're almost 100% fool proof. Here's a Wikipedia entry, they're called pyrotechnic fasteners and NASA uses a lot of them.
I don't know how they achieved it specifically, but there is a moment in the broadcast[0] they did where they show the umbilical on the rover and mention that it was cut. I'm curious as well how they did it!
[0] https://mars.nasa.gov/mars2020/spacecraft/rover/communicatio...
[1] https://scitechdaily.com/nasas-mars-2020-perseverance-rover-...