<apex:page controller="exportCSVController" cache="true" contentType="text/csv#Export.csv" language="en-US">
    "Col A","Col B"
    <apex:repeat value="{!myList}" var="a">
        <apex:repeat value="{!a}" var="asub">
        "{!asub.val1}","{!asub.val2}"
        </apex:repeat>
    </apex:repeat>
</apex:page>

Hi 
Mohidheen N,

Please find the solution.

public class exportCSVController {

    public List<List<myClass>> myList {get;set;}
    
    public exportCSVController() {
        myList = new List<List<myClass>>();
        List<myClass> temp = new List<myClass>();
        
        for(Integer i = 0; i < 2500; i++){
            if(temp.size() < 1000){
                myClass m = new myClass();
                m.val1 = 'val1 ' + i;
                m.val2 = 'val2 ' + i;
                temp.add(m);
            }
            else{
                myList.add(temp);
                temp = new List<myClass>();
                myClass m = new myClass();
                m.val1 = 'val1 ' + i;
                m.val2 = 'val2 ' + i;
                temp.add(m);
            }
        }
        myList.add(temp);
    }
    

    public class myClass{
        public string val1 {get;set;}
        public string val2 {get;set;}
    }
}

 VisualForce Page:

Or You can use batch class

global class SetupAuditTrailBatch implements Database.Batchable<sObject>, Database.Stateful {
   
    global String csvColumnHeader;
    global List<String> csvRowValues = new List<String>();
   
    global Database.QueryLocator start(Database.BatchableContext BC){
        //Query all SetupAuditTrail records.
        String query = 'SELECT CreatedDate, CreatedBy.Username, Display, Section, Action, DelegateUser, CreatedById, CreatedBy.Name FROM SetupAuditTrail ORDER BY CreatedDate DESC';
        return Database.getQueryLocator(query);
    }
   
    global void execute(Database.BatchableContext BC, List<sObject> scope){
        //Process retrieved SetupAuditTrail records and format field values.
        for(SetupAuditTrail currSetupAudit : (List<SetupAuditTrail>) scope){
            String formattedDate = currSetupAudit.CreatedDate.format('M/d/yyyy h:mm:ss a z');
            String userName = currSetupAudit.CreatedBy.Username != null ? currSetupAudit.CreatedBy.Username : '';
            String displayVal = currSetupAudit.Display != null ? String.valueOf(currSetupAudit.Display).escapeCsv() : '';
            String sectionVal = currSetupAudit.Section != null ? currSetupAudit.Section : '';
            String delegateUser = currSetupAudit.DelegateUser != null ? currSetupAudit.DelegateUser : '';
           
            String rowStr = formattedDate + ',' + userName + ',' + displayVal + ',' + sectionVal + ','+ delegateUser;
            csvRowValues.add(rowStr);
        }
    }
   
    global void finish(Database.BatchableContext BC){
        List<Folder> folders = [SELECT Id, Name FROM Folder WHERE Name = 'Setup Audit Trail Logs'];
       
        if(!folders.isEmpty()){
            String documentName = 'SetupAuditTrailLog-'+ Datetime.now().format('MMM') + Datetime.now().year();
            csvColumnHeader = 'Date, User, Action, Section, Delegate User\n';
            String csvFile = csvColumnHeader + String.join(csvRowValues,'\n');
           
            // Insert the generated CSV file in Document object under "Setup Audit Trail Logs".
            Document doc = new Document(Name = documentName, Body = Blob.valueOf(csvFile), FolderId = folders[0].Id, Type = 'csv', ContentType='application/vnd.ms-excel');
            insert doc;
        }
    }
}