First, ensure that you have the CockroachDB client installed on your machine. This will allow you to execute SQL queries directly against your CockroachDB instance. You can download the client from the [CockroachDB official website](https://www.cockroachlabs.com/docs/stable/install-cockroachdb.html).

Use the CockroachDB client to connect to your database. You can do this by opening your terminal and running the following command:
```
cockroach sql --url 'postgresql://:@:/'
```
Replace ``, ``, ``, ``, and `` with your specific database connection details.

Once connected, execute the SQL query to retrieve the data you want to export. For example:
```sql
SELECT FROM your_table_name;
```
This will fetch all the data from the specified table. You can modify the query to filter or select specific columns as needed.

CockroachDB supports the `COPY` command, which can be used to export data directly to a CSV file. Run the following command in your SQL session:
```sql
COPY (SELECT FROM your_table_name) TO STDOUT WITH CSV HEADER;
```
This command will output the data in CSV format directly to your console with a header row.

To save the CSV output to a file, redirect the output of the `COPY` command to a file using shell redirection. Run:
```bash
cockroach sql --url 'postgresql://:@:/' -e "COPY (SELECT FROM your_table_name) TO STDOUT WITH CSV HEADER;" > output.csv
```
This command will create a file named `output.csv` in your current directory containing the exported data.

Open the `output.csv` file using a text editor or a spreadsheet program like Excel to verify that the data has been exported correctly. Ensure that all expected columns and rows are present and correctly formatted.

If you encounter any errors during the export process, check the following:
- Confirm that your SQL query is correct.
- Ensure you have the necessary permissions to access the database and write to the file system.
- Review any error messages for clues on what might be wrong, such as incorrect credentials or network issues.

This guide walks you through exporting data from CockroachDB to a CSV file using built-in SQL commands and shell operations, ensuring you don't need external tools or libraries.