I retrieved this information from Bluehost and from StackExchange.
#####1. First, SSH to your domain:
ssh bluehost_username@bluehost_domain.com
#####2. Next, execute this command:
mysqldump -p -u username database_name > dbname.sql
Note that you need to use the username/password combination for MySQL, not your SSH credentials. Keep in mind that this will dump your database to the file 'dbname.sql' in your current directory.
#####3. Now, exit out of the SSH session.
#####4. Execute this command:
scp bluehost_username@bluehost_domain.com:/home1/bluehost_username/dbname.sql /path/to/destination
This will copy your mysqldump file using SSH protocol to the path you specify onto your local machine.
#####5. Next, create the corresponding datbase in your local MySQL if it isn't already there.
#####6. Finally, import the file into your MySQL using this command:
mysql -p -u username database_name < dbname.sql
You will use your local MySQL credentials for this. These will likely be different from those of your Bluehost MySQL.