Command:

lftp -de "${mget_command}" -u $sftp_user,$sftp_password sftp://$sftp_host 2>&1 | \
    sed -r 's/^---- path on wire is (.*)$/Transferring: \1/g' | \
    sed -r '/^[-|<]--[-|>].*$/d'

Output:

cd ok, cwd=/home/steve/source
mget *.xml
Transferring: `/home/steve/source'
Transferring: `/home/steve/source/pom.xml'
Transferring: `/home/steve/source/pom1.xml'
Transferring: `/home/steve/source/pom2.xml'
Transferring: `/home/steve/source/pom3.xml'
8244 bytes transferred
Total 4 files transferred