There is some option to add a new dropdown export option like a EXCEL then use another library to generate the excel using the data filtered or result of search?
Yes: https://material-table.com/#/docs/features/export. Basically you can export whatever is currently visible in the table or do some monkey-patching and decide what gets exported yourself.

I mean how to add a new option there, to Export as XLS or PDF using another component or function for that purpose. I mean create an override as ToolBar override to create a new option to export external function with the filtered rows.
You can add custom actions: https://material-table.com/#/docs/features/actions. Check a Free Action Example specifically.
You can add custom actions: https://material-table.com/#/docs/features/actions. Check a Free Action Example specifically.
You Can Add External Button Not Inside Export's Button
Bad News, Why not give the opportunity to add other buttons to an existing dropdown?
The built in Export button only have one option but still show a dropdown, which could not be modified and set disableScrollLock to false. This needs more work.
You can add custom actions: https://material-table.com/#/docs/features/actions. Check a Free Action Example specifically.
You Can Add External Button Not Inside Export's Button
How can we get the filtered/sorted/searched data there in custom free action component?
@ervikashkumar u can't atm and this is so sad XD
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I mean how to add a new option there, to Export as XLS or PDF using another component or function for that purpose. I mean create an override as ToolBar override to create a new option to export external function with the filtered rows.