Two ways of exporting that I sue:
1. Find the animation folder specific to a mesh, in 'UE browser...select all individual animations, click on Export button. This will give individual .psa files for each of the animations
2. Open the mesh that I want in UE viewer...find animations from browser, instead of Export, click on 'Open' drop down, choose 'Append' this will then append all the animations onto the mesh. You can see the number of animations at the bottom left corner. Now hit 'Ctrl+X'. this will give a .psa file with all the animations currently appended to the mesh.
This is probably what you want. As now in Blender or Max you can just open the single .psa and see all the animations in one go.Note: One difference is where the .psa file is store. Method 1, all .psa files go into the same folder structure as you see in UE Viewer. Method 2, as far as I can see the single .psa file will go into the same folder where the skeletal mesh is imported to. So make sure you check in the right places.
Hope this helps..Also watch the tutorial from Gildor. It gives quite an in-depth walkthrough of features and common issues that ppl face.
Cheers
I tried what you suggested but it doesn't work. I tried opening one animation in the viewer, going back to the package explorer and adding the remaining animations from the current folder to the open object. I also tried selecting all of the animations in a package and opening all of them in the viewer, but that doesn't work either. At best, I can only export single animations to a psa file. Any idea what step I'm missing?