No. The web server would have to expose these files to you explicitly.
When you load a website that uses PHP/SQL, it will run the PHP on the server itself, and return the output of the PHP program (usually a mix of HTML, CSS, and JS). These files are actually never stored in those states on the web server, but are procedurally generated. What you are doing when using wget is you are downloading the output of the web server (the response to your HTTP queries), not copying files off of the server.
The SQL server is only accessible from a trusted account, and usually is accessed by said PHP code. Unless you have the credentials to log into the server itself using ssh or sftp, you will not be able to gain access to the raw PHP code or SQL database.
The server may be configured to allow direct downloads of files from the computer, including PHP files, but this is not common because it defeats the purpose of employing PHP at all. A competant admin would not allow direct access to the PHP code, and especially would highly restrict access to the SQL server.
That is not to say you can't do this using security exploits. But doing so would generally be immoral unless you have a very good reason to do so (for instance, you are hired by a security firm to do security audits on your clients' websites).