Download the .csv: CNPJDF.csv
Download all files of cnpj here: https://www.gov.br/receitafederal/pt-br/assuntos/orientacao-tributaria/cadastros/consultas/dados-publicos-cnpj
Download SQLite here: https://www.sqlite.org/download.html
I got the data already in SQLite in this repository: https://github.com/rictom/cnpj-sqlite.git
Other people are discussing the DB of receita federal at: georgevbsantiago/qsacnpj#26