Try using the next approach, please:
Sub LoopAllFilesInAFolderAndSubfolders()
 Dim FSO As Object, foldName As String
 'Create FSO object
 Set FSO = CreateObject("Scripting.FileSystemObject")
 'Set the folder name to a variable
 foldName = "E:\Downloads\data\ADVANCED\2020\Feb\1\"
 'Call the recursive itSubFolders Sub, which makes the job:
 itSubFolders FSO.GetFolder(foldName)
End Sub
And the recursive Sub extracting all files in subfolders:
Sub itSubFolders(FSOFolder As Object)
 Dim objSubfold As Object, objFile As Object
 'Iterate between al subfolders
 Sub itSubFolders(FSOFolder As Object)
 Dim objSubfold As Object, objFile As Object
 'Iterate between al subfolders
 For Each objSubfold In FSOFolder.SubFolders
    itSubFoldersAndFiles objSubfold
 Next
 'iterate for files
 For Each objFile In FSOFolder.Files
    'Debug.Print  objFile.path
    itSubFolders objFile 'I think, the code should send the file path as parameter, to the existing Function/Sub
 Next
End Sub
You can test the above recursive Sub, un commenting the line 'Debug.Print "Subfolder: " &  objFile.path and commenting the following one. It will return in Immediate Window all files path.
Note: The above recursive Sub works also for all subfolders inside subfolders...