Get group membership via Microsoft Graph

Get the ID of "My Group":

Get-MgGroup -Filter "displayName eq 'My Group'" | Select-Object Id

Get the members of that group ID and export to CSV:

$groupId = "b123ec9b-7123-4ab4-beaf-0ebe68f123d9"
$allMembers = Get-MgGroupMember -GroupId $groupId -All
$Output = foreach ($member in $allMembers) {
Get-MgUser -UserId $member.Id | Select-Object Id, DisplayName, UserPrincipalName
}
$Output | Export-CSV "C:\Temp\MyGroupMembers.csv"