Exporting citations from the two databases is a bit different from each and from other databases and Google Scholar. Keep in mind that the ideal file type for most all citation tools is an RIS file; this a file format that can be directly uploaded to citation tools. PubMed does not use that format, but Embase does.
PubMed uses its own citation format, the PubMed Journal Article Citation Format. You can export individual citations; batches of them (by checking the boxes next to the citations you want to export); and from the Clipboard (note that the Clipboard is temporary, so export your citations before you close PubMed). Note, even after the latest update a few years ago, does not offer a direct export to citation tools. There are two ways to export from PubMed:
In Embase there are two main methods for exporting citations (individually, selecting multiple citations, or from your Clipboard:
Note, if you want to export an entire set of results (e.g., if you get 800 results and want to export ALL of them), find and click the Select number of items and then click on the number. Otherwise, you can use the check box for a more limited selection.